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Time variation in liquidity: the role of market-maker inventories and revenues
We show that market-maker balance sheet and income statement variables explain time variation in liquidity, suggesting liquidity-supplier financing constraints matter. Using 11 years of NYSE specialist inventory positions and trading revenues, we find that aggregate market-level and specialist firm-level spreads widen when specialists have large positions or lose money. The effects are nonlinea…
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- ISBN/ISSN
- 221082
- Deskripsi Fisik
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Which shorts are informed?
We construct a long daily panel of short sales using proprietary NYSE order data. From 2000 to 2004, shorting accounts for more than 12.9% of NYSE volume, suggesting that shorting constraints are not widespread. As a group, these short sellers are well informed. Heavily shorted stocks underperform lightly shorted stocks by a risk-adjusted average of 1.16% over the following 20 trading days (15.…
- Edisi
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- ISBN/ISSN
- 221082
- Deskripsi Fisik
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- Judul Seri
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- No. Panggil
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