文献详情
Shorting flows, public disclosure, and market efficiency
文献类型：期刊
通讯作者：Zheng, LL (reprint author), Renmin Univ China, Sch Business, Beijing, Peoples R China.
期刊名称：JOURNAL OF FINANCIAL ECONOMICS
年：2020
卷：135
期：1
页码：191-212
ISSN：0304-405X
关键词：Short sale; Public disclosure; Return predictability; Anomalies
所属部门：商学院
摘要：Shorting flows remain a significant predictor of negative future stock returns during 2010-2015, when daily short-sale volume data are published in real time. This predictability decays slowly and lasts for a year. Long-term shorting flows are more informative than short-term shorting flows. Indeed, abnormal short-term shorting flows do not predict future returns or anticipate bad news. We find that short sellers exploit prominent anomalies. A comparison with the Regulation SHO data indicates th ...More
Shorting flows remain a significant predictor of negative future stock returns during 2010-2015, when daily short-sale volume data are published in real time. This predictability decays slowly and lasts for a year. Long-term shorting flows are more informative than short-term shorting flows. Indeed, abnormal short-term shorting flows do not predict future returns or anticipate bad news. We find that short sellers exploit prominent anomalies. A comparison with the Regulation SHO data indicates that the predictability is much shorter-term during 2005-2007. Short sellers appear to have shifted from trading on short-term private information to trading on long-term public information that is gradually incorporated into prices. (C) 2019 Elsevier B.V. All rights reserved. ...Hide

DOI：10.1016/j.jfineco.2019.05.018
百度学术：Shorting flows, public disclosure, and market efficiency
语言：外文
人气指数：1
浏览次数：1
基金：National Natural Science Foundation of ChinaNational Natural Science Foundation of China [71703164, 71302157]; University of International Business and Economics Fund for Distinguished Young Scholars [18JQ10]
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