This file is part of IDEAS, which uses RePEc data


[ Papers | Articles | Software | Books | Chapters | Authors | Institutions | JEL Classification | NEP reports | Search | New papers by email | Author registration | Rankings | Volunteers | FAQ | Blog | Help! ]

Short Sales Are Almost Instantaneously Bad News: Evidence from the Australian Stock Exchange

Author info | Abstract | Publisher info | Download info | Related research | Statistics
Author Info
Michael J. Aitken (University of Sydney,)
Alex Frino (University of Sydney,)
Michael S. McCorry (University of Sydney,)
Peter L. Swan (Barclays Global Investors and the University of Sydney)

Additional information is available for the following registered author(s):

Abstract

This paper investigates the market reaction to short sales on an intraday basis in a market setting where short sales are transparent immediately following execution. We find a mean reassessment of stock value following short sales of up to - 0.20 percent with adverse information impounded within fifteen minutes or twenty trades. Short sales executed near the end of the financial year and those related to arbitrage and hedging activities are associated with a smaller price reaction; trades near information events precipitate larger price reactions. The evidence is generally weaker for short sales executed using limit orders relative to market orders. Copyright The American Finance Association 1998.

Download Info
To download:

If you experience problems downloading a file, check if you have the proper application to view it first. Information about this may be contained in the File-Format links below. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

File URL: http://www.blackwell-synergy.com/servlet/useragent?func=synergy&synergyAction=showTOC&journalCode=jofi&volume=53&issue=6&year=1998&part=null
File Format: text/html
File Function: link to full text
Download Restriction: Access to full text is restricted to subscribers.

As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.

Publisher Info
Article provided by American Finance Association in its journal The Journal of Finance.

Volume (Year): 53 (1998)
Issue (Month): 6 (December)
Pages: 2205-2223
Download reference. The following formats are available: HTML (with abstract), plain text (with abstract), BibTeX, RIS (EndNote, RefMan, ProCite), ReDIF
Handle: RePEc:bla:jfinan:v:53:y:1998:i:6:p:2205-2223

Contact details of provider:
Web page: http://www.afajof.org/
More information through EDIRC

Order Information:
Web: http://www.afajof.org/membership/join.asp

For technical questions regarding this item, or to correct its listing, contact: (Christopher F. Baum).

Related research
Keywords:

Cited by:
(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

  1. Paul D. McNelis & Carrie K.C. Chan, 2004. "Deflationary Dynamics in Hong Kong: Evidence from Linear and Neural Network Regime Switching Models," Working Papers 212004, Hong Kong Institute for Monetary Research. [Downloadable!]
  2. Bardong, Florian & Bartram, Söhnke M. & Yadav, Pradeep K., 2007. "Are Short-sellers Different?," MPRA Paper 13585, University Library of Munich, Germany, revised 16 Nov 2008. [Downloadable!]
  3. Schouten, Michael C., 2009. "The Case for Mandatory Ownership Disclosure," MPRA Paper 14139, University Library of Munich, Germany, revised 27 Apr 2009. [Downloadable!]
    Other versions:
  4. Matthias Blonski & Ulf von Lilienfeld-Toal, 2008. "Excess Returns and the Distinguished Player Paradox," cege – Center for European, Governance and Economic Development Research Discussion Papers 78, cege – Center for European, Governance and Economic Development Research, University of Goettingen (Germany)., revised 27 Oct 2008. [Downloadable!]
  5. Louis Gagnon & Jonathan Witmer, 2009. "Short Changed? The Market's Reaction to the Short Sale Ban of 2008," Working Papers 09-23, Bank of Canada. [Downloadable!]
  6. Michael McKenzie & Olan T. Henry, 2007. "The Determinnts of Short Selling in the Hong Kong Equities Market," Department of Economics - Working Papers Series 1001, The University of Melbourne. [Downloadable!]
  7. Owen Lamont, 2004. "Go Down Fighting: Short Sellers vs. Firms," NBER Working Papers 10659, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  8. Olan T. Henry & Michael McKenzie, 2004. "The Impact of Short Selling on the Price-Volume Relationship: Evidence from Hong Kong," Working Papers 032004, Hong Kong Institute for Monetary Research. [Downloadable!]
    Other versions:
  9. Gerlinde Fellner & Erik Theissen, 2006. "Short Sale Constraints, Divergence of Opinion and Asset Values: Evidence from the Laboratory," Labsi Experimental Economics Laboratory University of Siena 009, University of Siena. [Downloadable!]
Statistics
Access and download statistics

Did you know? There are NEP reports in over 80 fields that deliver new research to your email.

This page was last updated on 2009-11-12.

This information is provided to you by IDEAS at the Department of Economics, College of Liberal Arts and Sciences, University of Connecticut using RePEc data on a server sponsored by the Society for Economic Dynamics.