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

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:	2005 > Wertpapierhandel > Kauf > Verkauf > Klassifikation > USA > Arbeitspapier > Graue Literatur
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