This paper investigates the linkage between macroeconomic factors and the price stability of individual securities in a unique setting. Using a large sample of 327 American Depositary Receipts (ADRs), we test whether economic freedom in the ADR home country reduces the level of ADR volatility....

Theory in Admati and Pfleiderer (1988) predicts that informed traders will concentrate their trading at the beginning and end of the trading day when markets are thick. Motivated by these predictions, we examine the trading behavior of informed short sellers during the intraday period. While our...

Diether, Lee, and Werner (2009) show that, in general, short sellers are contrarian in both contemporaneous and past returns and able to impressively predict future returns, this study examines these trading characteristics during both the trading day and the after-hours period. Interestingly,...

In this paper, we examine bear raids by short sellers, which are defined as consecutive days of abnormal short-selling activity in a particular stock. Interestingly, we find that raids by short sellers occur after periods of positive returns instead of periods of negative returns suggesting that...

Boehmer, Jones, and Zhang (2008a JF) show that informed short sellers do not stealth trade and hypothesize that because short sellers face execution uncertainty caused by the uptick rule, informed short sellers cannot afford to break up their larger trades into smaller trades in order to hide...

In this study we test whether the introduction of options decreases market friction using the Hou and Moskowitz (2006) measure of price delay. Consistent with theory in Ross (1976), we find that the availability of options increases the flow of market-wide information into stock prices. Indeed,...

This study examines shorting activity, returns, and failures-to-deliver at the daily level. We find evidence that failures occur after periods of positive returns, which is consistent with the idea that short sellers are contrarian traders (Diether et al., 2009). We also find that the direct...

Political involvement has long been shown to be a profitable investment for firms that seek favorable regulatory conditions or support in times of economic distress. But how important are different types of political involvement for the timing and magnitude of political support? To answer this...