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Fails-to-Deliver, Short Selling, and Market Quality

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Fails-to-Deliver, Short Selling, and Market Quality. / Fotak, Veljko; Raman, Vikas; Yadav, Pradeep.
In: Journal of Financial Economics, Vol. 114, No. 3, 10.12.2014, p. 493-516.

Research output: Contribution to Journal/Magazine › Journal article › peer-review

Harvard

Fotak, V, Raman, V & Yadav, P 2014, 'Fails-to-Deliver, Short Selling, and Market Quality', Journal of Financial Economics, vol. 114, no. 3, pp. 493-516. https://doi.org/10.1016/j.jfineco.2014.07.012

APA

Fotak, V., Raman, V., & Yadav, P. (2014). Fails-to-Deliver, Short Selling, and Market Quality. Journal of Financial Economics, 114(3), 493-516. https://doi.org/10.1016/j.jfineco.2014.07.012

Vancouver

Fotak V, Raman V, Yadav P. Fails-to-Deliver, Short Selling, and Market Quality. Journal of Financial Economics. 2014 Dec 10;114(3):493-516. Epub 2014 Aug 17. doi: 10.1016/j.jfineco.2014.07.012

Author

Fotak, Veljko ; Raman, Vikas ; Yadav, Pradeep. / Fails-to-Deliver, Short Selling, and Market Quality. In: Journal of Financial Economics. 2014 ; Vol. 114, No. 3. pp. 493-516.

Bibtex

@article{fb0c189243804b8d919b0596278401a5,
title = "Fails-to-Deliver, Short Selling, and Market Quality",
abstract = "We investigate the aggregate market quality impact of equity shares that fail to deliver (hereafter “FTDs”). For a sample of 1,492 NYSE stocks over a 42-month period from 2005 to 2008, greater FTDs lead to higher liquidity and pricing efficiency, and their impact is similar to our estimate of delivered short sales. Furthermore, during the operative period of a Security and Exchange Commission (SEC) order mandating stock borrowing prior to short sales, the securities affected display relatively lower liquidity and higher pricing errors. Finally, we do not find any evidence that FTDs caused price distortions or the failure of financial firms during the 2008 financial crisis.",
keywords = "Naked short selling, Short selling, Failure to deliver",
author = "Veljko Fotak and Vikas Raman and Pradeep Yadav",
year = "2014",
month = dec,
day = "10",
doi = "10.1016/j.jfineco.2014.07.012",
language = "English",
volume = "114",
pages = "493--516",
journal = "Journal of Financial Economics",
issn = "0304-405X",
publisher = "Elsevier",
number = "3",

}

RIS

TY - JOUR

T1 - Fails-to-Deliver, Short Selling, and Market Quality

AU - Fotak, Veljko

AU - Raman, Vikas

AU - Yadav, Pradeep

PY - 2014/12/10

Y1 - 2014/12/10

N2 - We investigate the aggregate market quality impact of equity shares that fail to deliver (hereafter “FTDs”). For a sample of 1,492 NYSE stocks over a 42-month period from 2005 to 2008, greater FTDs lead to higher liquidity and pricing efficiency, and their impact is similar to our estimate of delivered short sales. Furthermore, during the operative period of a Security and Exchange Commission (SEC) order mandating stock borrowing prior to short sales, the securities affected display relatively lower liquidity and higher pricing errors. Finally, we do not find any evidence that FTDs caused price distortions or the failure of financial firms during the 2008 financial crisis.

AB - We investigate the aggregate market quality impact of equity shares that fail to deliver (hereafter “FTDs”). For a sample of 1,492 NYSE stocks over a 42-month period from 2005 to 2008, greater FTDs lead to higher liquidity and pricing efficiency, and their impact is similar to our estimate of delivered short sales. Furthermore, during the operative period of a Security and Exchange Commission (SEC) order mandating stock borrowing prior to short sales, the securities affected display relatively lower liquidity and higher pricing errors. Finally, we do not find any evidence that FTDs caused price distortions or the failure of financial firms during the 2008 financial crisis.

KW - Naked short selling

KW - Short selling

KW - Failure to deliver

U2 - 10.1016/j.jfineco.2014.07.012

DO - 10.1016/j.jfineco.2014.07.012

M3 - Journal article

VL - 114

SP - 493

EP - 516

JO - Journal of Financial Economics

JF - Journal of Financial Economics

SN - 0304-405X

IS - 3

ER -