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Fails-to-deliver, short selling, and market quality
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Fotak, Veljko , Raman, Vikas and Yadav, Pradeep K. (2014) Fails-to-deliver, short selling, and market quality. Journal of Financial Economics, 114 (3). pp. 493-516. doi:10.1016/j.jfineco.2014.07.012 ISSN 0304-405X.
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Official URL: http://dx.doi.org/10.1016/j.jfineco.2014.07.012
Abstract
We investigate the aggregate market quality impact of equity shares that fail to deliver (hereafter “FTDs”). For a sample of 1,492 NYSE stocks over a 42-month period from 2005 to 2008, greater FTDs lead to higher liquidity and pricing efficiency, and their impact is similar to our estimate of delivered short sales. Furthermore, during the operative period of a Security and Exchange Commission (SEC) order mandating stock borrowing prior to short sales, the securities affected display relatively lower liquidity and higher pricing errors. Finally, we do not find any evidence that FTDs caused price distortions or the failure of financial firms during the 2008 financial crisis.
Item Type: | Journal Article | ||||||||
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Divisions: | Faculty of Social Sciences > Warwick Business School | ||||||||
Journal or Publication Title: | Journal of Financial Economics | ||||||||
Publisher: | Elsevier Science BV | ||||||||
ISSN: | 0304-405X | ||||||||
Official Date: | December 2014 | ||||||||
Dates: |
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Volume: | 114 | ||||||||
Number: | 3 | ||||||||
Page Range: | pp. 493-516 | ||||||||
DOI: | 10.1016/j.jfineco.2014.07.012 | ||||||||
Status: | Peer Reviewed | ||||||||
Publication Status: | Published |
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