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- W1511818609 abstract "We examine the differences between short sales and trades with regard to the nature of their information content. First, we find that short-sales impound information that is significantly longer-lived than that in regular trades, and accordingly find that short-sales play an important stabilizing role by providing short-term intraday liquidity during periods of buying pressure. Second, we find that the information advantage of short-sellers originates from skilled analysis of publicly available data rather than corporate type information. In this context, while short-sellers are strong in relation to individual firm-specific information, they react to public information rather than exploit insider knowledge, and their informational advantage over regular trades increases with estimation horizon for both market-wide and security-specific information. And, they are not using firm-specific information around negative earnings announcements but analyzing public information on the day of the announcement to derive their private information advantage, and furthermore, are also aggressively supplying liquidity around positive earnings announcements." @default.
- W1511818609 created "2016-06-24" @default.
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- W1511818609 date "2010-01-01" @default.
- W1511818609 modified "2023-09-26" @default.
- W1511818609 title "How are Short-Sales Different from 'Regular' Trades?" @default.
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- W1511818609 doi "https://doi.org/10.2139/ssrn.1572770" @default.
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