We present empirical evidence that short sales contribute to market efficiency by increasing the speed of price adjustment to not only private/public firm-specific information but also market-wide information. Shortable stocks are characterized by weaker trade continuity and stronger quote...

Purpose – The purpose of this paper is to study the relationship between excess returns and short sale activities under unexpected informed and uninformed short sales. It is found that in general, the unexpected informed short sale is a bearish signal and has a negative effect on excess...