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

by Michael J. Aitken & Alex Frino & Michael S. McCorry & Peter L. Swan

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  1. Warren Bailey & Lin Zheng, 2013. "Banks, Bears, and the Financial Crisis," Journal of Financial Services Research, Springer, vol. 44(1), pages 1-51, August.
  2. Blau, Benjamin M. & Brough, Tyler J., 2012. "Short sales, stealth trading, and the suspension of the uptick rule," The Quarterly Review of Economics and Finance, Elsevier, Elsevier, vol. 52(1), pages 38-48.
  3. Duffie, Darrell & Garleanu, Nicolae & Pedersen, Lasse Heje, 2002. "Securities lending, shorting, and pricing," Journal of Financial Economics, Elsevier, Elsevier, vol. 66(2-3), pages 307-339.
  4. Crystal Xiaobei Chen, 2012. "The anatomy of short sales and price adjustment: evidence from the Hong Kong stock market," International Journal of Managerial Finance, Emerald Group Publishing, Emerald Group Publishing, vol. 8(3), pages 204-218.
  5. Muntermann, Jan & Guettler, Andre, 2007. "Intraday stock price effects of ad hoc disclosures: the German case," Journal of International Financial Markets, Institutions and Money, Elsevier, Elsevier, vol. 17(1), pages 1-24, February.
  6. Asquith, Paul & Pathak, Parag A. & Ritter, Jay R., 2005. "Short interest, institutional ownership, and stock returns," Journal of Financial Economics, Elsevier, Elsevier, vol. 78(2), pages 243-276, November.
  7. Hu, Ou & Huang, Zhaodan & Liao, Bih-shuang, 2009. "Short sale and stock returns: Evidence from the Taiwan Stock Exchange," The Quarterly Review of Economics and Finance, Elsevier, Elsevier, vol. 49(3), pages 1146-1158, August.
  8. 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.
  9. Blau, Benjamin M. & Van Ness, Bonnie F. & Van Ness, Robert A., 2011. "Information in short selling: Comparing Nasdaq and the NYSE," Review of Financial Economics, Elsevier, Elsevier, vol. 20(1), pages 1-10, January.
  10. Rodrigo De-Losso & Alan De Genaro, Bruno C. Giovannetti, 2012. "Testing the Effects of Short-Selling Restrictions on Asset Prices," Working Papers, Department of Economics 2012_18, University of São Paulo (FEA-USP).
  11. Benjamin Blau & Matthew Hill & Hao Wang, 2011. "REIT Short Sales and Return Predictability," The Journal of Real Estate Finance and Economics, Springer, vol. 42(4), pages 481-503, May.
  12. Blau, Benjamin M. & Van Ness, Robert A. & Warr, Richard S., 2012. "Short selling of ADRs and foreign market short-sale constraints," Journal of Banking & Finance, Elsevier, vol. 36(3), pages 886-897.
  13. Benjamin Blau & Chip Wade, 2013. "Comparing the information in short sales and put options," Review of Quantitative Finance and Accounting, Springer, vol. 41(3), pages 567-583, October.
  14. Ryan Garvey & Fei Wu, 2012. "Are informed traders reluctant to bear price risk or execution risk?," International Journal of Managerial Finance, Emerald Group Publishing, Emerald Group Publishing, vol. 8(4), pages 284-303.
  15. Delisle, R. Jared & Lee, Bong Soo & Mauck, Nathan, 2012. "The dynamic relation between short sellers, option traders, and aggregate returns," MPRA Paper 42566, University Library of Munich, Germany.
  16. Dungey, Mardi & McKenzie, Michael D. & Yalama, Abdullah, 2013. "The cross market effects of short sale restrictions," The North American Journal of Economics and Finance, Elsevier, vol. 26(C), pages 53-71.
  17. Schouten, Michael C., 2009. "The Case for Mandatory Ownership Disclosure," MPRA Paper 12800, University Library of Munich, Germany.
  18. Blau, Benjamin M. & Smith, Jason M., 2014. "Autocorrelation in daily short-sale volume," The Quarterly Review of Economics and Finance, Elsevier, Elsevier, vol. 54(1), pages 31-41.
  19. Ackert, Lucy F. & Athanassakos, George, 2005. "The relationship between short interest and stock returns in the Canadian market," Journal of Banking & Finance, Elsevier, vol. 29(7), pages 1729-1749, July.
  20. Hansson, Fredrik & Rüdow Fors, Erik, 2009. "Get Shorty? - Market Impact of the 2008-09 U.K. Short Selling Ban," Working Papers in Economics 365, University of Gothenburg, Department of Economics.
  21. Bohl, Martin T. & Klein, Arne C. & Siklos, Pierre L., 2013. "Are short sellers positive feedback traders? Evidence from the global financial crisis," Journal of Financial Stability, Elsevier, Elsevier, vol. 9(3), pages 337-346.
  22. Alldredge, Dallin M. & Blau, Benjamin M. & Brough, Tyler J., 2012. "Short selling after hours," Journal of Economics and Business, Elsevier, Elsevier, vol. 64(6), pages 439-451.
  23. Blau, Benjamin M. & Van Ness, Bonnie F. & Van Ness, Robert A., 2009. "Information and trade sizes: The case of short sales," The Quarterly Review of Economics and Finance, Elsevier, Elsevier, vol. 49(4), pages 1371-1388, November.
  24. Joyce Hsieh & Chien-Chung Nieh, 2010. "An overview of Asian equity markets," Asian-Pacific Economic Literature, Asia Pacific School of Economics and Government, The Australian National University, Asia Pacific School of Economics and Government, The Australian National University, vol. 24(2), pages 19-51, November.
  25. Benjamin Blau, 2013. "Informed short sales and option introductions," Annals of Finance, Springer, vol. 9(3), pages 365-382, August.
  26. Blonski, Matthias & von Lilienfeld-Toal, Ulf, 2008. "Excess returns and the distinguished player paradox," Center for European, Governance and Economic Development Research Discussion Papers 78, University of Goettingen, Department of Economics.
  27. Frino, Alex & Jarnecic, Elvis & Johnstone, David & Lepone, Andrew, 2005. "Bid-ask bounce and the measurement of price behavior around block trades on the Australian Stock Exchange," Pacific-Basin Finance Journal, Elsevier, Elsevier, vol. 13(3), pages 247-262, June.
  28. Zhao, Yan & Cheng, Lee-Young & Chang, Chong-Chuo & Ni, Cih-Ying, 2013. "Short sales, margin purchases and bid–ask spreads," Pacific-Basin Finance Journal, Elsevier, Elsevier, vol. 24(C), pages 199-220.
  29. Jones, Charles M. & Lamont, Owen A., 2002. "Short-sale constraints and stock returns," Journal of Financial Economics, Elsevier, Elsevier, vol. 66(2-3), pages 207-239.
  30. Çankaya, Serkan & Eken, Hasan/M. & Ulusoy, Veysel, 2011. "The Impact of Short Selling on Intraday Volatility: Evidence from the Istanbul Stock Exchange," MPRA Paper 43658, University Library of Munich, Germany.
  31. Fernando D. Chague & Rodrigo De-Losso, Alan De Genaro, Bruno C. Giovannetti, 2013. "Short Selling and Inside Information," Working Papers, Department of Economics 2013_06, University of São Paulo (FEA-USP).
  32. Au, Andrea S. & Doukas, John A. & Onayev, Zhan, 2009. "Daily short interest, idiosyncratic risk, and stock returns," Journal of Financial Markets, Elsevier, Elsevier, vol. 12(2), pages 290-316, May.
  33. Blau, Benjamin M. & Wade, Chip, 2012. "Informed or speculative: Short selling analyst recommendations," Journal of Banking & Finance, Elsevier, vol. 36(1), pages 14-25.
  34. Michael McKenzie & Olan T. Henry, 2007. "The Determinnts of Short Selling in the Hong Kong Equities Market," Department of Economics - Working Papers Series, The University of Melbourne 1001, The University of Melbourne.
  35. Benjamin Blau & Tyler J. Brough, 2012. "Concentrated short-selling activity: bear raids or contrarian trading?," International Journal of Managerial Finance, Emerald Group Publishing, Emerald Group Publishing, vol. 8(3), pages 187-203.
  36. Engelberg, Joseph E. & Reed, Adam V. & Ringgenberg, Matthew C., 2012. "How are shorts informed?," Journal of Financial Economics, Elsevier, Elsevier, vol. 105(2), pages 260-278.
  37. Owen Lamont, 2004. "Go Down Fighting: Short Seller vs. Firms," Yale School of Management Working Papers, Yale School of Management amz2521, Yale School of Management, revised 01 Aug 2004.
  38. 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.
  39. 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.
  40. de Jong, Abe & Dutordoir, Marie & Verwijmeren, Patrick, 2011. "Why do convertible issuers simultaneously repurchase stock? An arbitrage-based explanation," Journal of Financial Economics, Elsevier, Elsevier, vol. 100(1), pages 113-129, April.
  41. Fellner, Gerlinde & Theissen, Erik, 2011. "Short sale constraints, divergence of opinion and asset value: Evidence from the laboratory," CFR Working Papers 11-03, University of Cologne, Centre for Financial Research (CFR).
  42. Chen, Crystal Xiaobei & Rhee, S. Ghon, 2010. "Short sales and speed of price adjustment: Evidence from the Hong Kong stock market," Journal of Banking & Finance, Elsevier, vol. 34(2), pages 471-483, February.
  43. Blau, Benjamin M. & Fuller, Kathleen P. & Van Ness, Robert A., 2011. "Short selling around dividend announcements and ex-dividend days," Journal of Corporate Finance, Elsevier, Elsevier, vol. 17(3), pages 628-639, June.
  44. Lynch, Andrew & Nikolic, Biljana & Yan, Xuemin (Sterling) & Yu, Han, 2014. "Aggregate short selling, commonality, and stock market returns," Journal of Financial Markets, Elsevier, Elsevier, vol. 17(C), pages 199-229.
  45. Lecce, Steven & Lepone, Andrew & McKenzie, Michael D. & Segara, Reuben, 2012. "The impact of naked short selling on the securities lending and equity market," Journal of Financial Markets, Elsevier, Elsevier, vol. 15(1), pages 81-107.
  46. 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.
  47. repec:got:cegedp:78 is not listed on IDEAS
  48. Frino, Alex & Jarnecic, Elvis & Lepone, Andrew, 2009. "An event time study of the price reaction to large retail trades," The Quarterly Review of Economics and Finance, Elsevier, Elsevier, vol. 49(2), pages 617-632, May.
  49. W. Paul Spurlin & Bonnie F. Van Ness & Robert Van Ness, 2012. "Short sales in the NYSE batch open and NASDAQ opening cross," International Journal of Managerial Finance, Emerald Group Publishing, Emerald Group Publishing, vol. 8(3), pages 219-237.