Rebuttal of Short Sales, Long Sales, and the Lee-Ready Trade Classification Algorithm Revisited

10 Pages Posted: 20 Jan 2013

See all articles by Paul Asquith

Paul Asquith

Massachusetts Institute of Technology (MIT) - Economics, Finance, Accounting (EFA); National Bureau of Economic Research (NBER)

Rebecca Oman

Massachusetts Institute of Technology (MIT)

Christopher Safaya

Massachusetts Institute of Technology (MIT)

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

Asquith, Paul and Oman, Rebecca and Safaya, Christopher, Rebuttal of Short Sales, Long Sales, and the Lee-Ready Trade Classification Algorithm Revisited (December 26, 2012). Available at SSRN: https://ssrn.com/abstract=2203712 or http://dx.doi.org/10.2139/ssrn.2203712

Paul Asquith (Contact Author)

Massachusetts Institute of Technology (MIT) - Economics, Finance, Accounting (EFA) ( email )

77 Massachusetts Avenue
Cambridge, MA 02139-4307
United States

National Bureau of Economic Research (NBER)

1050 Massachusetts Avenue
Cambridge, MA 02138
United States

Rebecca Oman

Massachusetts Institute of Technology (MIT) ( email )

77 Massachusetts Avenue
50 Memorial Drive
Cambridge, MA 02139-4307
United States

Christopher Safaya

Massachusetts Institute of Technology (MIT) ( email )

77 Massachusetts Avenue
50 Memorial Drive
Cambridge, MA 02139-4307
United States

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