Shorting at close range: A tale of two types

• 成果类型: Article
• 署名作者: Comerton-Forde, Carole; Jones, Charles M.; Putnins, Tails J.
• 署名单位: University of Melbourne; Columbia University; University of Technology Sydney
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2016.05.002
• 发表日期: 2016
• 页码: 546-568
• 关键词: Short selling; Information content; market quality; High-frequency trading

摘要

We examine returns, order flow, and market conditions in the minutes before, during, and after NYSE and Nasdaq short sales. We find two distinct types of short sales: those that provide liquidity, and those that demand it. Liquidity-supplying shorts are strongly contrarian at intraday horizons. They trade when spreads are unusually wide, facing greater adverse selection. Liquidity-demanding shorts trade when spreads are narrow and tend to follow short-term price declines. These results support a competitive rational expectations model where both market-makers and informed traders short, indicating that these two shorting types are integral to both price discovery and liquidity provision. (C) 2016 Elsevier B.V. All rights reserved.