The DOI matches its Crossref record; 23 of the 23 references it cites were found in a registry or an index.
It's SHO Time! Short‐Sale Price Tests and Market Quality
Abstract
We examine the effects of the Securities and Exchange Commission (SEC)‐mandated temporary suspension of short‐sale price tests for a set of Pilot securities. While short‐selling activity increases both for NYSE‐ and Nasdaq‐listed Pilot stocks, returns and volatility at the daily level are unaffected. NYSE‐listed Pilot stocks experience more symmetric trading patterns and a slight increase in spreads and intraday volatility after the suspension while there is a smaller effect on market quality for Nasdaq‐listed Pilot stocks. The results suggest that the effect of the price tests on market quality can largely be attributed to distortions in order flow created by the price tests themselves.
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Cites
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Cited by
Short-Sale Strategies and Return Predictability
Diether, K. B., Lee, K.-H., & Werner, I. M. (2009) · Review of Financial Studies · doi:10.1093/rfs/hhn047 · Cited by 730
Self-citationShort Selling and Earnings Management: A Controlled Experiment
FANG, V. W., HUANG, A. H., & KARPOFF, J. M. (2016) · The Journal of Finance · doi:10.1111/jofi.12369 · Cited by 485
Short Arbitrage, Return Asymmetry, and the Accrual Anomaly
Hirshleifer, D., Teoh, S. H., & Yu, J. J. (2011) · Review of Financial Studies · doi:10.1093/rfs/hhr012 · Cited by 279
LI, Y., & ZHANG, L. (2015) · Journal of Accounting Research · doi:10.1111/1475-679x.12068 · Cited by 258
SOX after Ten Years: A Multidisciplinary Review
Coates, J. C., & Srinivasan, S. (2014) · Accounting Horizons · doi:10.2308/acch-50759 · Cited by 228
Metadata
- Authors
- DIETHER, K. B., LEE, K., & WERNER, I. M.
- Venue
- The Journal of Finance
- Publisher
- Wiley
- Published
- 2009-01-23
- Volume
- 64
- Issue
- 1
- Pages
- 37-73
- ISSN
- 0022-1082 (ISSN-L)
- 1540-6261
- OpenAlex
- W3123871479
- Cited by
- 371
- References
- 23
- FWCI
- 39.78
- Type
- journal article
- Language
- en
- Open access
- closed
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Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
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