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Impact Of Diverse Short Selling Restrictions On Liquidity Market Quality And Information Content Of Short Sales

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Impact Of Diverse Short Selling Restrictions On Liquidity Market Quality And Information Content Of Short Sales

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Author : Christian Fleischer
language : en
Publisher: GRIN Verlag
Release Date : 2011-08-22

Impact Of Diverse Short Selling Restrictions On Liquidity Market Quality And Information Content Of Short Sales written by Christian Fleischer and has been published by GRIN Verlag this book supported file pdf, txt, epub, kindle and other format this book has been release on 2011-08-22 with Business & Economics categories.

Seminar paper from the year 2011 in the subject Economics - Finance, grade: 1,7, Karlsruhe Institute of Technology (KIT) (FBV), language: English, abstract: Die Arbeit befasst sich mit den Auswirkungen verschiedener Leerverkaufsbeschränkungen auf Liquidität, Markt Qualität und Informationsgehalt von Leerverkäufen. Basierend auf einer Paper von Kolasinski et al. wird zunächst in die Thematik eingeführt bevor im Anschluss die zentralen Begriffe definiert und in den Kontext eingeordnet werden. Abschließend werden einige von Kolasinki et al. aufgestellte Thesen logisch hergeleitet und deren empirische Überprüfung beschrieben.

Impact Of Diverse Short Selling Restrictions On Liquidity Market Quality And Information Content Of Short Sales

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Author : Christian Fleischer
language : en
Publisher: GRIN Verlag
Release Date : 2011-08

A Study Of Market Wide Short Selling Restrictions

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Author : Hazem Daouk
language : en
Publisher:
Release Date : 2005

A Study Of Market Wide Short Selling Restrictions written by Hazem Daouk and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2005 with categories.

This paper contributes empirical evidence to the debate on short sales. Our examination of how market-wide short-sale restrictions affect aggregate market returns focuses on two main questions: What is the effect of short-sale restrictions on skewness, volatility, the probability of market crashes, and liquidity? What is the effect on the market expected return or cost of capital? We report new data on the history of short-selling and put option trading regulations and practices from 111 countries, and create a short-selling feasibility indicator for empirical of stock market indices around the world. We find that when short-selling is possible, aggregate stock returns are less volatile and there is greater liquidity. When countries start to permit short-selling, aggregate stock price increases, implying a cost of capital. There is no evidence that short-sale restrictions affect either the level of skewness of returns or the probability of a market crash. Collectively, our empirical evidence shows that allowing short sales improves market quality.

Can Short Restrictions Result In More Informed Short Selling Evidence From The 2008 Regulations

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Author : Adam C. Kolasinski
language : en
Publisher:
Release Date : 2017

Can Short Restrictions Result In More Informed Short Selling Evidence From The 2008 Regulations written by Adam C. Kolasinski and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2017 with categories.

We use the 2008 short selling regulations to conduct the first test of Diamond and Verrecchia's (1987) counterintuitive prediction that short sale constraints can actually increase the information content of short sales. The emergency order made it difficult and costly for short sellers without strong broker relationships to borrow shares; borrowing fees increased by over 500%. Similarly, the short selling ban prohibited short selling in the spot market, but sophisticated traders could still short synthetically via the options market. As such, there is good reason to expect that both regulations increased the proportion of informed short sellers. Consistent with this notion, we find that the price reaction to announcements of unexpectedly high levels of short interest became more negative when the regulations were in effect. We also find that the price impact of short sales increased during the ban for affected stocks. Our results confirm the counterintuitive and previously untested prediction that short selling restrictions may actually increase the information content of short selling.

Liquidity Markets And Trading In Action

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Author : Deniz Ozenbas
language : en
Publisher: Springer Nature
Release Date : 2022

Liquidity Markets And Trading In Action written by Deniz Ozenbas and has been published by Springer Nature this book supported file pdf, txt, epub, kindle and other format this book has been release on 2022 with Business enterprises categories.

This open access book addresses four standard business school subjects: microeconomics, macroeconomics, finance and information systems as they relate to trading, liquidity, and market structure. It provides a detailed examination of the impact of trading costs and other impediments of trading that the authors call rictions It also presents an interactive simulation model of equity market trading, TraderEx, that enables students to implement trading decisions in different market scenarios and structures. Addressing these topics shines a bright light on how a real-world financial market operates, and the simulation provides students with an experiential learning opportunity that is informative and fun. Each of the chapters is designed so that it can be used as a stand-alone module in an existing economics, finance, or information science course. Instructor resources such as discussion questions, Powerpoint slides and TraderEx exercises are available online.

Advances In Pacific Basin Business Economics And Finance

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Author : Cheng-Few Lee
language : en
Publisher: Emerald Group Publishing
Release Date : 2020-09-09

Advances In Pacific Basin Business Economics And Finance written by Cheng-Few Lee and has been published by Emerald Group Publishing this book supported file pdf, txt, epub, kindle and other format this book has been release on 2020-09-09 with Business & Economics categories.

Advances in Pacific Basin Business, Economics, and Finance is an annual publication designed to focus on interdisciplinary research in finance, economics, accounting and management among Pacific Rim countries.

Investment Intelligence From Insider Trading

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Author : H. Nejat Seyhun
language : en
Publisher: MIT Press
Release Date : 2000-02-28

Investment Intelligence From Insider Trading written by H. Nejat Seyhun and has been published by MIT Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2000-02-28 with Business & Economics categories.

Learn how to profit from information about insider trading. The term insider trading refers to the stock transactions of the officers, directors, and large shareholders of a firm. Many investors believe that corporate insiders, informed about their firms' prospects, buy and sell their own firm's stock at favorable times, reaping significant profits. Given the extra costs and risks of an active trading strategy, the key question for stock market investors is whether the publicly available insider-trading information can help them to outperform a simple passive index fund. Basing his insights on an exhaustive data set that captures information on all reported insider trading in all publicly held firms over the past twenty-one years—over one million transactions!—H. Nejat Seyhun shows how investors can use insider information to their advantage. He documents the magnitude and duration of the stock price movements following insider trading, determinants of insiders' profits, and the risks associated with imitating insider trading. He looks at the likely performance of individual firms and of the overall stock market, and compares the value of what one can learn from insider trading with commonly used measures of value such as price-earnings ratio, book-to-market ratio, and dividend yield.

Frictions The Flow Of Information And The Distribution Of Liquidity

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Author : Spencer A. Montgomery
language : en
Publisher:
Release Date : 2015

Frictions The Flow Of Information And The Distribution Of Liquidity written by Spencer A. Montgomery and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2015 with categories.

This paper examines the effects of short sale deregulation on market quality by examining the implementation of regulation SHO, which removed the uptick rule for a subset of pilot securities. This created an exogenous event, allowing a direct examination of the effect of short sale constraints on the markets. This study builds on Roll and Subrahmanyam (2010) in examining the skewness of bid-ask spreads as they represent information asymmetry and market maker competition. We find that the price tests conducted in regulation SHO evenly effected both pilot and non-pilot securities, including a widening of bid-ask spreads and a decrease in spread skewness. These findings suggest that short sellers are shifting from liquidity demanders in the market to liquidity providers in the markets. This change is associated with positive effects in the price discovery process and overall market quality.

Disrupting Finance

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Author : Theo Lynn
language : en
Publisher: Springer
Release Date : 2018-12-06

Disrupting Finance written by Theo Lynn and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2018-12-06 with Business & Economics categories.

This open access Pivot demonstrates how a variety of technologies act as innovation catalysts within the banking and financial services sector. Traditional banks and financial services are under increasing competition from global IT companies such as Google, Apple, Amazon and PayPal whilst facing pressure from investors to reduce costs, increase agility and improve customer retention. Technologies such as blockchain, cloud computing, mobile technologies, big data analytics and social media therefore have perhaps more potential in this industry and area of business than any other. This book defines a fintech ecosystem for the 21st century, providing a state-of-the art review of current literature, suggesting avenues for new research and offering perspectives from business, technology and industry.

Short Selling Activity In The Stock Market

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Author : United States. Congress. House. Committee on Government Operations. Commerce, Consumer, and Monetary Affairs Subcommittee
language : en
Publisher:
Release Date : 1991

Short Selling Activity In The Stock Market written by United States. Congress. House. Committee on Government Operations. Commerce, Consumer, and Monetary Affairs Subcommittee and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1991 with Consumer protection categories.

Impact Of Diverse Short Selling Restrictions On Liquidity Market Quality And Information Content Of Short Sales

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