Christophe, Stephen E.; Ferri, Michael G.; Hsieh, Jim - In: Journal of Financial Economics 95 (2010) 1, pp. 85-106
This paper studies short-selling prior to the release of analyst downgrades in a sample of 670 downgrades of Nasdaq stocks between 2000 and 2001. We find abnormal levels of short-selling in the three days before downgrades are publicly announced. Further, we show that this pre-announcement...