Short Selling and Intraday Price Pressures
研究个股日内显著下跌时的交易行为，发现价格下跌主要由非卖空方的流动性需求驱动，卖空方虽有加剧作用但非主因，反驳了卖空者系统性操纵市场的指控。
We study episodes of significant intraday downward price pressures in individual stocks and find that price declines during such episodes are driven mainly by liquidity demanding nonshort volume. Although short sellers during these price pressure episodes are also active and somewhat exacerbate the magnitude of price declines, their influence on prices is secondary to that of nonshort sellers. As such, our findings are inconsistent with the recently reignited allegations of systematic trading abuses caused solely by short sellers and might shed light on the debate regarding the need to reinstitute short selling restrictions.