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- W3122046166 abstract "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." @default.
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- W3122046166 date "2016-09-01" @default.
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- W3122046166 title "Shorting at close range: A tale of two types" @default.
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- W3122046166 doi "https://doi.org/10.1016/j.jfineco.2016.05.002" @default.
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