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- Title
Naked Short Selling and the Market Impact of Fails-to-Deliver: Evidence from the Trading of Real Estate Investment Trusts.
- Authors
Devos, Erik; McInish, Thomas; McKenzie, Michael; Upson, James
- Abstract
Naked short selling and purposeful fails-to-deliver have been identified in the popular press and by the SEC as contributing factors to the stock market decline in 2008. We investigate the market impact of the announcement that fails-to-deliver have occurred for a sample of real estate investment trusts (REITs). We find little evidence that this announcement affects returns or has any market manipulation ability. We find that fails-to-deliver are most consistent with a 1 to 3 days delivery difference between the short sale and offsetting covering trades. These results hold independent of the type of REIT (equity or mortgage REITs). Overall, our findings suggest that naked short selling and purposeful fails-to-deliver may not have contributed much to REIT losses during the financial crisis.
- Subjects
REAL estate investment trusts; FINANCIAL crises; SHORT sales (Real property); MORTGAGES; MARKET manipulation
- Publication
Journal of Real Estate Finance & Economics, 2014, Vol 49, Issue 4, p454
- ISSN
0895-5638
- Publication type
Article
- DOI
10.1007/s11146-013-9438-8