Short sales, and trade classification algorithms

"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 li...

Ausführliche Beschreibung

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Bibliographische Detailangaben
1. Verfasser: Asquith, Paul (VerfasserIn)
Weitere Verfasser: Oman, Rebecca (VerfasserIn), Safaya, Christopher (VerfasserIn)
Format: UnknownFormat
Sprache:eng
Veröffentlicht: Cambridge, Mass. National Bureau of Economic Research 2008
Schriftenreihe:NBER working paper series 14158
Schlagworte:
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