Short selling and the price discovery process
We show that stock prices are more accurate when short sellers are more active. First, in a large panel of NYSE-listed stocks, intraday informational efficiency of prices improves with greater shorting flow. Second, at monthly and annual horizons, more shorting flow accelerates the incorporation of...
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| Main Authors: | , |
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| Format: | text |
| Language: | English |
| Published: |
Institutional Knowledge at Singapore Management University
2013
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| Subjects: | |
| Online Access: | https://ink.library.smu.edu.sg/lkcsb_research/4688 https://ink.library.smu.edu.sg/context/lkcsb_research/article/5687/viewcontent/ShortSellingPriceDiscovery_2013.pdf |
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| Institution: | Singapore Management University |
| Language: | English |
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