Dr Zsuzsa R Huszár, National University of Singapore

This study shows that short sale trades on BATS exchanges have significant return predictability beyond the well-established short-sale demand and short-sale constraints measures during 2011 to 2015.

Specifically, the report shows 57 (43) bps monthly value-weighted (equal-weighted) abnormal returns on the long-short high-low aggregate BATS short portfolios, where both the long and short legs of the strategy contribute to the profits.

More importantly, it shows that the return predictability of short-selling on a specific exchange depends on the cost-rebate structure and the liquidity of the exchange.

The findings have implications for the SEC’s Transaction Fee Pilot project and shed light on how market maker compensation plays a role in the information discovery of informed traders such as short-sellers.

Speaker bio

Dr Zsuzsa R. Huszar is an entrepreneur, researcher, and educator with 15 years of experience in teaching at top universities in the US and Asia. She is a Visiting Professor at the Central European University (CEU) in Budapest, Hungary and lecturer at the Department of Real Estate (DRE) and at the Risk Management Institute (RMI) at the National University of Singapore (NUS) in Singapore.

She recently started a fintech business to mitigate the information gap between retail and institutional investors giving better access to financial and market sentiment information in Asia. Previously, she was an Assistant Professor in Finance at the National University of Singapore (NUS) and at California State Polytechnic University (Cal-Poly), Pomona, CA, USA. She pioneered the non-traditional mortgage financing research area with her paper on “A note on hybrid mortgages”, which work was referenced in various US and European policy debates, for example in the 2011 Congressional report on “The root causes of the foreclosure crisis”.

Her more recent research interest in the context of securities lending activities focuses on exploring the negative welfare implications the lenders’ passive role in securities financing. Her research has been published in top real estate and finance journals over the years, such as the Journal of Financial Economics (JFE), Journal of Financial and Quantitative Analysis (JFQA), Real Estate Economics (REE) and Journal of Real Estate Finance and Economics (JREFE).

Her dissertation paper “The good news in short interest” is a winner of the 2010 Fama Fama-DFA Prize for the Best Paper in the Journal of Financial Economics in the areas of capital markets and asset pricing. More recently, her paper “The information value of securities lending fees: are lenders price takers?” was a finalist for the Pagano-Zechner award for the 2017 Best Paper in the Review of Finance.

Address

Trumpington St
Cambridge
CambridgeshireCB2 1QA
United Kingdom

Date & time

Date: 27 November 2018
Start Time: 12:00
End Time: 14:00

Audience

Open to: Members of the University of Cambridge

Category:

 

« Back to all events

Event location


Trumpington St
Cambridge
CambridgeshireCB2 1QA
United Kingdom

Event timings

Date: 27 November 2018
Start Time: 12:00
End Time: 14:00