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Intermarket Competition: Evidence from Trading Venue Short Sales

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Abstract

Constructing a comprehensive panel of U.S. dark pool equity trade, we examine where short sellers exploit their well-documented information advantage. Studying the trade-off between transaction costs and execution probability, we find that short sales comprise a greater proportion of exchange trading than dark pool trading. Furthermore, exchange short sales are more informative than dark pool short sales about future price moves. We find evidence of increased exchange short sales and exchange short sale informativeness prior to corporate news events. The results provide direct evidence that dark pools attract less informed trade than exchanges, particularly when information is short lived.

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... The news and press releases included in RavenPack are collected from all major real-time news wires and from other Internet sources such as financial sites, blogs and local and regional newspapers. To our knowledge, RavenPack has not yet been utilized by marketing researchers; however, it is increasingly used by researchers in finance and accounting (e.g., Akbas et al. 2016;Kelley and Tetlock 2013;Samadi 2016;Shroff et al. 2013;Shroff, Verdi, and Yu 2014). ...
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... RavenPack is a news provider that collects all major real-time news wires and news from other Internet sources, including financial and business websites, such as the Wall Street Journal, Dow Jones, Barron's, blogs, and local and regional newspapers. Although researchers in finance and accounting have increasingly used RavenPack (e.g., Akbas et al. 2016;Kelley and Tetlock 2013;Samadi 2016;Shroff et al. 2013), marketing researchers have not yet widely adopted it. ...
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