Intermarket Competition: Evidence from Short Sales Public Deposited
- Last Modified
- March 20, 2019
- Creator
-
Samadi, Mehrdad
- Affiliation: Kenan-Flagler Business School
- Abstract
- Using a novel collection of off-exchange trade data, I study where short sellers exploit their well-documented information advantage. I find that short sales comprise a greater proportion of exchange trading than dark pool trading. I find stronger evidence of return predictability for exchange short sales than for dark pool short sales. In periods leading up to unscheduled negative corporate news releases, I find evidence of increased exchange short sales. I find evidence of increased exchange short sale return predictability prior to news releases. My results indicate that dark pools host a different composition of trade than exchanges.
- Date of publication
- May 2016
- Keyword
- DOI
- Resource type
- Rights statement
- In Copyright
- Advisor
- Jotikasthira, Chotibhak
- Lundblad, Christian
- Reed, Adam
- Conrad, Jennifer
- Ghysels, Eric
- Degree
- Doctor of Philosophy
- Degree granting institution
- University of North Carolina at Chapel Hill Graduate School
- Graduation year
- 2016
- Language
- Parents:
This work has no parents.
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Samadi_unc_0153D_16272.pdf | 2019-04-09 | Public |
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