Intermarket Competition: Evidence from Short Sales Public Deposited

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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.
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Rights statement
  • In Copyright
Advisor
  • Lundblad, Christian
  • Jotikasthira, Chotibhak
  • Reed, Adam
  • Ghysels, Eric
  • Conrad, Jennifer
Degree
  • Doctor of Philosophy
Degree granting institution
  • University of North Carolina at Chapel Hill Graduate School
Graduation year
  • 2016
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