We examine the short-run dynamic relation between daily institutional trading and stock price volatility in a retail investor-dominated emerging market. We find a significantly negative relation between volatility and institutional net trading that is mainly due to the unexpected institutional...

This study provides evidence that short selling influences the disclosure of bad news by firms. Managers have incentives to withhold or delay the release of bad news. As informed traders, short sellers enhance the informativeness of stock prices, especially related to bad news, potentially...

Traders differ in speed and their speed differences matter. I model strategic interactions induced when high frequency traders (HFTs) have different speeds in an extended Kyle (1985) framework. HFTs are assumed to anticipate incoming orders and trade rapidly to exploit normal-speed traders'...

We test the asset pricing implications of collateralized borrowing using the Chinese structured A-B funds. The funds are special in that the prices for the same asset with and without leverage are simultaneously observed with the leverage exogenously determined and time-varying. We find that...