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SUMMARY:THE ROLE OF MARKET INFRASTRUCTURE IN PRICE DISCOVERY: SHORT SELLER
 S'S PERSPECTIVE - Zsuzsa R Huszár\, Assistant Professor\, National Unive
 rsity of Singapore
DTSTART:20181127T120000Z
DTEND:20181127T140000Z
UID:TALK114856@talks.cam.ac.uk
CONTACT:Emily Brown
DESCRIPTION:This study shows that short sale trades on BATS exchanges have
  significant return predictability beyond the wellestablished short-sale d
 emand and short-sale constraints measures during 2011 to 2015.\n\nSpecific
 ally\, we report 57 (43) bps monthly value-weighted (equal-weighted) abnor
 mal returns on the long-short high-low aggregate BATS short portfolios\, w
 here both the long and short legs of the strategy contribute to the profit
 s.\n\nMore importantly\, we show that the return predictability of short s
 elling on a specific exchange depends on the cost-rebate structure and the
  liquidity of the exchange.\n\nOur findings have implications for the SEC
 ’s Transaction Fee Pilot project and shed light on how market maker comp
 ensation plays a role in the information discovery of informed traders suc
 h as short sellers
LOCATION:KH107\, Cambridge Judge Business School
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