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The effect of price tests on trader behavior and market quality: An analysis of Reg SHO

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  • Alexander, Gordon J.
  • Peterson, Mark A.

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  • Alexander, Gordon J. & Peterson, Mark A., 2008. "The effect of price tests on trader behavior and market quality: An analysis of Reg SHO," Journal of Financial Markets, Elsevier, vol. 11(1), pages 84-111, February.
    • Handle: RePEc:eee:finmar:v:11:y:2008:i:1:p:84-111
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    4. Diether, Karl & Lee, Kuan Hui & Werner, Ingrid M., 2007. "It’s SHO Time! Short-Sale Price-Tests and Market Quality," Working Paper Series 2006-13, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
    5. Daniel, Kent, et al, 1997. "Measuring Mutual Fund Performance with Characteristic-Based Benchmarks," Journal of Finance, American Finance Association, vol. 52(3), pages 1035-1058, July.
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    7. Ofek, Eli & Richardson, Matthew & Whitelaw, Robert F., 2004. "Limited arbitrage and short sales restrictions: evidence from the options markets," Journal of Financial Economics, Elsevier, vol. 74(2), pages 305-342, November.
    8. Andersen, Torben G & Bollerslev, Tim, 1998. "Answering the Skeptics: Yes, Standard Volatility Models Do Provide Accurate Forecasts," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 39(4), pages 885-905, November.
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    14. Alexander, Gordon J. & Peterson, Mark A., 2002. "Implications of a Reduction in Tick Size on Short-Sell Order Execution," Journal of Financial Intermediation, Elsevier, vol. 11(1), pages 37-60, January.
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