Rebuttal of Short Sales, Long Sales, and the Lee-Ready Trade Classification Algorithm Revisited
10 Pages Posted: 20 Jan 2013
Date Written: December 26, 2012
Abstract
Chakrabarty, Moulton and Shkilko (2012) claim that they redo Asquith, Oman, and Safaya (2010) and obtain different results. This note shows Chakrabarty, et al. (2012) only redid a portion of Asquith, et al. (2010) and their results for that portion are the same as Asquith, et al. (2010). Furthermore, the findings in Chakrabarty, et al. (2012) do not show the Lee-Ready algorithm properly classifies short sales as they claim.
Keywords: Market Microstructure, Lee-Ready, Short Sales
JEL Classification: G10, G18
Suggested Citation: Suggested Citation
Do you have negative results from your research you’d like to share?
Recommended Papers
-
Short Sale Constraints and Stock Returns
By Charles M. Jones and Owen A. Lamont
-
Short Sale Constraints and Stock Returns
By Charles M. Jones and Owen A. Lamont
-
Breadth of Ownership and Stock Returns
By Joseph Chen, Harrison G. Hong, ...
-
Breadth of Ownership and Stock Returns
By Joseph Chen, Harrison G. Hong, ...
-
Can the Market Add and Subtract? Mispricing in Tech Stock Carve-Outs
By Owen A. Lamont and Richard H. Thaler
-
Can the Market Add and Subtract? Mispricing in Tech Stock Carve-Outs
By Owen A. Lamont and Richard H. Thaler
-
Limited Arbitrage in Equity Markets
By Mark L. Mitchell, Todd C. Pulvino, ...
-
Dotcom Mania: The Rise and Fall of Internet Stock Prices
By Eli Ofek and Matthew P. Richardson
-
Dotcom Mania: The Rise and Fall of Internet Stock Prices
By Eli Ofek
-
Dotcom Mania: The Rise and Fall of Internet Stock Prices
By Eli Ofek and Matthew P. Richardson