Short sales, stealth trading, and the suspension of the uptick rule

Benjamin Blau () and Tyler J. Brough

The Quarterly Review of Economics and Finance, 2012, vol. 52, issue 1, 38-48

Abstract: Prior work contends that informed short sellers do not stealth trade because the uptick rule produces “execution uncertainty” and does not afford short sellers the opportunity to spread their trades across time. Contrary to this idea, our results show that informed short sellers tend to use larger trade sizes, instead smaller trade sizes, after the suspension of the uptick rule. Further, we find that the use of smaller short sales during the post-suspension period, which is documented in prior studies, is not a result of greater stealth-trading activity and is instead explained by a reduction in liquidity that occurs when the uptick rule is suspended.

Keywords: Short sales; Stealth trading; Uptick rule (search for similar items in EconPapers)
Date: 2012
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:quaeco:v:52:y:2012:i:1:p:38-48

DOI: 10.1016/j.qref.2011.12.004

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