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dc.contributor.advisorJacobs, Kris
dc.contributor.advisorKumar, Praveen
dc.creatorLee, Eun Ju 1975-
dc.date.accessioned2015-06-15T14:01:04Z
dc.date.available2015-06-15T14:01:04Z
dc.date.createdMay 2013
dc.date.issued2013-05
dc.identifier.urihttp://hdl.handle.net/10657/931
dc.description.abstractThis dissertation consists of two essays on short sellers' trading behavior. The first essay examines if short sellers exploit temporary mispricing in the equity market. Using a mispricing indicator that measures deviations from a stock's fundamental value, we find higher levels of short selling for temporarily overvalued stocks. The result is robust to controlling for short sale constraints and illiquidity, and it is more pronounced when short sale constraints do not bind and stocks are liquid. The result also remains intact after controlling for short sellers' reaction to fundamental information. We find that short sellers contribute to market quality by correcting overpricing quickly over time, but do not destabilize the stock market. The second essay documents trading activity of short sellers through the examination of intraday patterns in short sales. We find a U-shaped intraday pattern in short sales across the trading day. This pattern is robust to controlling for short trade size, market capitalization, and institutional ownership. We also find a positive association between short selling and past returns across the trading day, and this result is more pronounced in the first and last half hours of the day. A trading strategy based on intraday short sales generates the highest returns at the open of the trading day. Overall, the results suggest that high levels of short sales at the market open are attributed to strategic trading by informed short sellers. High levels of effective spreads and volatility at the open also support our findings.
dc.format.mimetypeapplication/pdf
dc.language.isoeng
dc.rightsThe author of this work is the copyright owner. UH Libraries and the Texas Digital Library have their permission to store and provide access to this work. Further transmission, reproduction, or presentation of this work is prohibited except with permission of the author(s).
dc.subjectShort selling
dc.subjectMispricing
dc.subjectFundamentals
dc.subjectShort sale constraints
dc.subjectMarket quality
dc.subjectIntraday short sales
dc.subjectInformed trading
dc.subjectContrarian
dc.subject.lcshBusiness administration
dc.titleTWO ESSAYS ON SHORT SELLING
dc.date.updated2015-06-15T14:01:04Z
dc.type.genreThesis
thesis.degree.nameDoctor of Philosophy
thesis.degree.levelDoctoral
thesis.degree.disciplineBusiness Administration
thesis.degree.grantorUniversity of Houston
thesis.degree.departmentFinance, Department of
dc.contributor.committeeMemberPiqueira, Natalia
dc.contributor.committeeMemberMurray, Christian J.
dc.type.dcmiText
dc.format.digitalOriginborn digital
dc.description.departmentFinance, Department of
thesis.degree.collegeC. T. Bauer College of Business


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