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Short Selling On The New York Stock Exchange And The Effects Of The Uptick Rule
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Book Synopsis Short Selling on the New York Stock Exchange and the Effects of the Uptick Rule by : Gordon J. Alexander
Download or read book Short Selling on the New York Stock Exchange and the Effects of the Uptick Rule written by Gordon J. Alexander and published by . This book was released on 1999 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: We examine the impact of Rule 10a-1, the Uptick Rule, on short-sell orders sent to the NYSE. The principal finding is that the execution quality of short-sell orders is adversely affected by the Uptick Rule, even when stocks are trading in advancing markets. This is inconsistent with one of the three stated objectives of the rule, i.e., to allow relatively unrestricted short selling when a firm's stock is advancing so that the rule does not affect price discovery during such times.
Author :United States. Congress. House. Committee on Government Operations. Commerce, Consumer, and Monetary Affairs Subcommittee Publisher : ISBN 13 : Total Pages :1358 pages Book Rating :4.F/5 ( download)
Book Synopsis Short-selling Activity in the Stock Market by : United States. Congress. House. Committee on Government Operations. Commerce, Consumer, and Monetary Affairs Subcommittee
Download or read book Short-selling Activity in the Stock Market written by United States. Congress. House. Committee on Government Operations. Commerce, Consumer, and Monetary Affairs Subcommittee and published by . This book was released on 1991 with total page 1358 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Two Essays on Short Selling and Uptick Rules by :
Download or read book Two Essays on Short Selling and Uptick Rules written by and published by . This book was released on 2008 with total page 193 pages. Available in PDF, EPUB and Kindle. Book excerpt: For many years, academics generally viewed uptick rules as short sale constraints that contribute to stock overvaluation and hamper stock price efficiency. Recently adopted Regulation SHO provides us with a natural experiment to study the impact of the suspension of uptick rules on various market quality measures in a controlled environment. In the first essay, I investigate the impact of removing short sale price test rules on stock returns and find that on the NYSE, removing the tick-test rule mitigates stock overvaluation. On the NASDAQ, however, lifting the bid-test rule goes beyond correcting such overvaluation. It shows that prices of high-dispersion stocks tend to be depressed relative to prices of low-dispersion stocks. I also examine the relationship between daily short selling activities and stock returns and find that on average short sellers are more likely to be value-driven "contrarians" who short sell following high stocks returns. In the second essay, I examine the information content of short selling around the release of analyst recommendations. By looking at the magnitude and the speed of price response to analyst downgrade recommendations, I provide intra-day evidence supporting the documented assertion that suspension of the uptick rule helps improve stock price efficiency. For after-hour downgrades, pilot stocks respond quickly, with virtually all of the price response incorporated by the following open, while control stocks take an extra half hour after opening to fully reflect the new information. For downgrades that occur during normal trading hours, downgrade information is partially incorporated into pilot stock prices up to two hours before the recommendation is released, while control stocks take up to an hour and a half after the recommendation release to impound the information into stock price. Finally, short selling activities prior to the release of analyst recommendations indicate that short sellers capitalize on their private information associated with upcoming downgrades in the control sample, but such behavior seems to disappear in the pilot sample. I conjecture that, during the pilot program, short sellers were aware of the SEC's regulatory scrutiny of pilot stocks and thus avoided trading on their private information in those stocks.
Book Synopsis (How) Does the Uptick Rule Constrain Short Selling? by : Gordon J. Alexander
Download or read book (How) Does the Uptick Rule Constrain Short Selling? written by Gordon J. Alexander and published by . This book was released on 2012 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Regulation SHO is designed to allow for tests of how the uptick rule effects trading, as it temporarily suspends the rule for a pilot sample of NYSE-listed stocks. Relative to a matched control sample, pilot stocks have similar rates of return, short trading volume, price volatility, and measures of market efficiency. At the microstructure level, short sales for pilot stocks have (1) smaller trade sizes but more trades, (2) lower execution prices, (3) larger price impacts, and (4) similar effective spreads. Interestingly, these orders face significantly larger quoted spreads along with significantly smaller bid and, more notably, ask depths.
Author :United States. Congress. House. Committee on Government Operations. Commerce, Consumer, and Monetary Affairs Subcommittee Publisher : ISBN 13 : Total Pages :868 pages Book Rating :4.0/5 ( download)
Book Synopsis Short-selling Activity in the Stock Market by : United States. Congress. House. Committee on Government Operations. Commerce, Consumer, and Monetary Affairs Subcommittee
Download or read book Short-selling Activity in the Stock Market written by United States. Congress. House. Committee on Government Operations. Commerce, Consumer, and Monetary Affairs Subcommittee and published by . This book was released on 1991 with total page 868 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Short-sale Regulation of NASDAQ Securities by : Irving M. Pollack
Download or read book Short-sale Regulation of NASDAQ Securities written by Irving M. Pollack and published by . This book was released on 1986 with total page 92 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis The Uptick Rule of Short Sale Regulation -- Can it Alleviate Downward Price Pressure from Negative Earnings Shocks? by : Lynn Bai
Download or read book The Uptick Rule of Short Sale Regulation -- Can it Alleviate Downward Price Pressure from Negative Earnings Shocks? written by Lynn Bai and published by . This book was released on 2009 with total page 64 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper examines the effect of the uptick rule (including the bid test applicable to NASDAQ stocks) of short sale regulations on stock prices and short selling activities immediately after negative earnings surprises that occurred during the period of May to November 2005. It compares price paths and short selling activities of stocks restricted by the uptick rule with stocks that were exempted from the rule as a result of the SEC's Pilot Program. The study has not found any evidence that prices of stocks subject to the rule declined at a slower speed than prices of exempted stocks at times of stress. The two groups of stocks had similar levels of short sale volumes despite the rule's prohibition on short selling at minus or zero-minus ticks. For NYSE and AMEX stocks, our study shows that market short orders whose immediate executions were barred by the uptick rule found execution opportunities against the upcoming buy orders within 15 minutes after their conversion into limit orders at the legally shortable price. For NASDAQ stocks, our study shows that up bids occurred with high frequency after negative earnings surprises and jointly with price improvements they offered generous execution opportunities to short sale orders.
Book Synopsis Annual Report of the Securities and Exchange Commission by : United States. Securities and Exchange Commission
Download or read book Annual Report of the Securities and Exchange Commission written by United States. Securities and Exchange Commission and published by . This book was released on 1935 with total page 116 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Don't Blame the Shorts: Why Short Sellers Are Always Blamed for Market Crashes and How History Is Repeating Itself by : Robert Sloan
Download or read book Don't Blame the Shorts: Why Short Sellers Are Always Blamed for Market Crashes and How History Is Repeating Itself written by Robert Sloan and published by McGraw Hill Professional. This book was released on 2009-12-04 with total page 272 pages. Available in PDF, EPUB and Kindle. Book excerpt: Why Main Street blames financial speculation for economic crashes Disdain for short selling is as American as apple pie, dating back to our nation’s founding. But as Bob Sloan argues in Don’t Blame the Shorts, short selling lies at the heart of every Wall Street transaction and fuels the financial system. Sloan explains that without shorting, credit in high-yield, distressed, convertible bonds and equities vanishes, thus choking economic activity. This eye-opening look at short selling in America provides new insight into our hostile relationship with shorting—a relationship that turns out to be unhealthy and counterproductive.
Book Synopsis Short Sales and Manipulation of Securities by :
Download or read book Short Sales and Manipulation of Securities written by and published by . This book was released on 1913 with total page 76 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Short Selling on the New York Stock Exchange by : Frederick Robertson Macaulay
Download or read book Short Selling on the New York Stock Exchange written by Frederick Robertson Macaulay and published by . This book was released on 1951 with total page 252 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Sold Short written by Manuel P. Asensio and published by John Wiley & Sons. This book was released on 2002-03-14 with total page 288 pages. Available in PDF, EPUB and Kindle. Book excerpt: A revealing expose by one of today's most successful andcontroversial speculators Short-selling, or betting on a drop in the price of a stock, hasbeen described by its many opponents as everything from shady todownright evil. And no one today personifies the practice betterthan short-seller extraordinaire Manuel Asensio. Though he has beenbranded in the press as a market saboteur, Asensio staunchlydefends his practices, claiming that, above all, he is out toexpose rampant fraud being perpetrated by unscrupulous stockpromoters. Is Asensio a "Minion of Satan" as they say in the onlinechat rooms, or is he really a misunderstood guardian angel of freemarket capitalism? In this tell-all account, Asensio offers readersa lively narrative, peppered with unforgettable anecdotes such asthe story of why he shorted Diana, General Nutrition, Solv-Ex,Turbodyne, and many other high-profile stocks. And he armsinvestors with proven techniques for reducing the inherent risks ofshort-selling while maximizing returns. Clearly, Asensio invitesboth praise and criticism, but his methodology works, and SoldShort is a compelling and fascinating read about this oftenmysterious side of the market--and one of the most controversialindividuals behind it. Manuel Asensio (New York, NY) is founder and Chairman of Asensio& Co., Inc. He has over twenty years of corporate finance andresearch experience. He has been featured in Business Week, theWall Street Journal, Barron's, Fortune, Forbes, Worth, the New YorkTimes, New York magazine, and the New Republic, among other leadingnational and international publications.
Book Synopsis Algorithmic Short Selling with Python by : Laurent Bernut
Download or read book Algorithmic Short Selling with Python written by Laurent Bernut and published by Packt Publishing Ltd. This book was released on 2021-09-30 with total page 377 pages. Available in PDF, EPUB and Kindle. Book excerpt: Leverage Python source code to revolutionize your short selling strategy and to consistently make profits in bull, bear, and sideways markets Key Features Understand techniques such as trend following, mean reversion, position sizing, and risk management in a short-selling context Implement Python source code to explore and develop your own investment strategy Test your trading strategies to limit risk and increase profits Book Description If you are in the long/short business, learning how to sell short is not a choice. Short selling is the key to raising assets under management. This book will help you demystify and hone the short selling craft, providing Python source code to construct a robust long/short portfolio. It discusses fundamental and advanced trading concepts from the perspective of a veteran short seller. This book will take you on a journey from an idea (“buy bullish stocks, sell bearish ones”) to becoming part of the elite club of long/short hedge fund algorithmic traders. You'll explore key concepts such as trading psychology, trading edge, regime definition, signal processing, position sizing, risk management, and asset allocation, one obstacle at a time. Along the way, you'll will discover simple methods to consistently generate investment ideas, and consider variables that impact returns, volatility, and overall attractiveness of returns. By the end of this book, you'll not only become familiar with some of the most sophisticated concepts in capital markets, but also have Python source code to construct a long/short product that investors are bound to find attractive. What you will learn Develop the mindset required to win the infinite, complex, random game called the stock market Demystify short selling in order to generate alpa in bull, bear, and sideways markets Generate ideas consistently on both sides of the portfolio Implement Python source code to engineer a statistically robust trading edge Develop superior risk management habits Build a long/short product that investors will find appealing Who this book is for This is a book by a practitioner for practitioners. It is designed to benefit a wide range of people, including long/short market participants, quantitative participants, proprietary traders, commodity trading advisors, retail investors (pro retailers, students, and retail quants), and long-only investors. At least 2 years of active trading experience, intermediate-level experience of the Python programming language, and basic mathematical literacy (basic statistics and algebra) are expected.
Download or read book Handbook of Short Selling written by and published by Academic Press. This book was released on 2011-08-31 with total page 625 pages. Available in PDF, EPUB and Kindle. Book excerpt: This comprehensive examination of short selling, which is a bet on stocks declining in value, explores the ways that this strategy drives financial markets. Its focus on short selling by region, its consideration of the history and regulations of short selling, and its mixture of industry and academic perspectives clarify the uses of short selling and dispel notions of its destructive implications. With contributions from around the world, this volume sheds new light on the ways short selling uncovers market forces and can yield profitable trades. Combines academic and professional research on short selling in all major financial markets Emphasizes details about strategies, implementations, regulation, and tax advantages Chapters provide summaries for readers who want up-to-date maps of subject landscapes
Download or read book Short Selling written by Ian Ramsay and published by . This book was released on 2006 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: Short selling constitutes a significant portion of total sales of exchange traded securities in the United States. Articles in the Securities Regulation Law Journal have outlined the recommendations of the House Committee on Government Operations in its report titled "Short-Selling Activity in the Stock Market: Market Effects and the Need for Regulation (Part 1)". In this brief article, I argue that two issues have been inadequately addressed by the House Committee. First, the House Committee assumes that short selling is undertaken by investors seeking to profit from a decline in stock prices. Based on this assumption, the House Committee recommends increased disclosure obligations with respect to short selling. However, what is missing from the House Committee Report is an analysis of the economic literature on short selling. Much of this literature demonstrates that short selling is undertaken for a number of reasons and that short selling undertaken for the purposes of speculation constitutes only a portion of total short selling. Second, the House Committee endorses the uptick rule applicable to short selling and recommends the uptick rule be extended to apply to NASDAQ trading. Again, the House Committee does not acknowledge the existence of economic literature which challenges the assumptions underlying the uptick rule.
Book Synopsis Short Selling Activities and Convertible Bond Arbitrage by : Sebastian P. Werner
Download or read book Short Selling Activities and Convertible Bond Arbitrage written by Sebastian P. Werner and published by Springer Science & Business Media. This book was released on 2010-12-01 with total page 269 pages. Available in PDF, EPUB and Kindle. Book excerpt: Sebastian Werner examines aggregate short sales and convertible bond arbitrage, which is a typical hedge fund strategy that involves a significant short position in the underlying stock of a long convertible bond position for hedging purposes. He provides insightful and new observations of the significant difference in the trading pattern, information content and resulting impact on stock returns of arbitrage- versus valuation-based short selling activities.
Book Synopsis Nibbling at the Edges - Regulation of Short Selling by : Douglas M. Branson
Download or read book Nibbling at the Edges - Regulation of Short Selling written by Douglas M. Branson and published by . This book was released on 2009 with total page 39 pages. Available in PDF, EPUB and Kindle. Book excerpt: Many knowledgeable observers ascribe recent share price volatility to short selling, which has increased 4 or more times the historical 4% short interest in most large cap stocks. Much of this short selling has been naked short selling in which, contrary to SEC and stock exchange rules, short sellers sell stock without having first borrowed it and frequently with no intention of ever borrowing it in the future. Through Regulation SHO, which took effect in 2006, and then further efforts in August-October, 2008, the SEC initiated and then ratcheted up its campaign against naked short selling. The crackdown on naked short selling has increased the imperative that a short must borrow stock before selling it. This article asks whether or not stock borrowing from an individual investor is an investment contract, and therefore a security, or should be regulated in some other way. The article also disagrees with 35 years' academic commentary, which asserted that the uptick rule was harmful an should be eliminated as contrary to marklet efficiency. That commentary was wrong because, uniformly, it equates informational efficiency with overall market efficiency when a truly efficient market will exhibit both price continuity, to which an uptick rule would contribute, as well as some level of informational efficiency, which short selling aids.
