We examine the day trading short-selling trades, which are initiated and closed on the same day. Using the proprietary dataset, which covers the comprehensive trading records at the trade- as well as account-level in Korean stock market, we show that the day trading short-selling is pervasive,...

We investigate the pricing implication of liquidity risks in the liquidity-adjusted capital asset pricing model of Acharya and Pedersen (2005), using multiple liquidity measures and their principal component. While we find that the empirical results are sensitive to the liquidity measure used in...

We use proprietary trade as well as account-level dataset of short sales to investigate the profitability of individual investors' short-selling in the Korean stock market from August 1, 2007 to May 31, 2010. An average profit is 26,810 Korean won (roughly USD 24.4) per trade per hour and we...