| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w14158 |
| 来源ID | Working Paper 14158 |
| Short Sales and Trade Classification Algorithms | |
| Paul Asquith; Rebecca Oman; Christopher Safaya | |
| 发表日期 | 2008-07-15 |
| 出版年 | 2008 |
| 语种 | 英语 |
| 摘要 | This paper demonstrates that short sales are often misclassified as buyer-initiated by the Lee-Ready and other commonly used trade classification algorithms. This result is due in part to regulations which require short sales be executed on an uptick or zero-uptick. In addition, while the literature considers "immediacy premiums" in determining trade direction, it ignores the often larger borrowing premiums which short sellers must pay. Since short sales constitute approximately 30% of all trade volume on U.S. exchanges, these results are important to the empirical market microstructure literature as well as to measures that rely upon trade classification, such as the probability of informed trading (PIN) metric. |
| 主题 | Financial Economics ; Financial Markets ; Portfolio Selection and Asset Pricing |
| URL | https://www.nber.org/papers/w14158 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/571832 |
| 推荐引用方式 GB/T 7714 | Paul Asquith,Rebecca Oman,Christopher Safaya. Short Sales and Trade Classification Algorithms. 2008. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w14158.pdf（92KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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