Fotak, Veljko; Raman, Vikas; Yadav, Pradeep K. - In: Journal of Financial Economics 114 (2014) 3, pp. 493-516
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...
