Shorting in Broad Daylight: Short Sales and Venue Choice
利用卖空交易和交易场所设计的新数据库，研究发现交易所卖空比暗池卖空占比更高且对未来价格更具信息含量，尤其在卖空者竞争激烈和信息短暂的情况下。
Using a novel database on venue short sales and market design characteristics, we ask: Where do short sellers exploit their information advantage? Consistent with the prediction of Zhu (2014), we find that exchange short sales comprise a larger proportion of trading and are more informative about future prices than dark-pool short sales, particularly when there is greater competition among short sellers to trade and in the presence of short-lived information. When examining market design characteristics, we find that dark pools offering volume-weighted average price crossing attract more short sales, whereas those offering block trading attract fewer short sales.