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The information content of short selling and put option trading: When are they substitutes?

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Deng, X and Gao, L and Kemme, D (2017) The information content of short selling and put option trading: When are they substitutes? Discussion Paper. University of Tasmania, Hobart.

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Abstract

Using January 2005 – June 2007 trading data for all NYSE stocks we identify the informational patterns and impact of exogenous shocks in short sales and option trades upon stock price changes. We find that short sales have more predictive power than put option trades. However, if short selling volume is low put options trading does have predictive power and thus may be a substitute used by informed investors.

Item Type: Report (Discussion Paper)
Keywords: Short selling; Put option trades; Informational patterns; Price discovery
Publisher: University of Tasmania
Additional Information:

JEL Classification Codes: G12; G14

Date Deposited: 09 Oct 2017 23:04
Last Modified: 09 Oct 2017 23:04
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