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Does Disclosure Deter Short Selling with Noisy Information
Deng, Sheran - 2020
This paper studies the impact of disclosure on short selling. Using a confidential dataset on shorts on stocks traded … in the Dutch stock market including both short positions large enough to trigger public disclosure and positions not … are time-varying and change discontinuously when positions reach the disclosure threshold. These results suggest …
Persistent link: https://www.econbiz.de/10014352100
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Securities lending and information transmission : a model of endogenous short-sale constraints
Pankratov, Andrey - 2020
I study short-sale constraints in a market with asymmetric information. I offer a novel approach endogenizing short-sale constraints by including an asset-borrowing market in my model. Short-sellers have to borrow an asset and therefore reveal information to a lender. The lender trades on her...
Persistent link: https://www.econbiz.de/10012824882
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Dissecting Short-Sale Performance : Evidence from Large Position Disclosures
Jank, Stephan - 2020
Short sellers are perceived as informed, sophisticated investors. Yet little is known about their identity and the determinants of their performance. Using novel data of daily disclosures in Europe, we identify large short positions of individual institutions and study their performance. Hedge...
Persistent link: https://www.econbiz.de/10012856146
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Short Selling Around Corporate Acquisitions
Doukas, John A. - 2010
Using daily short sale transactions data for firms traded in the Taiwan Stock Exchange (TWSE) from January 1991 to January 2007, we examine the pattern of short selling trading prior to 338 acquisition announcements. Consistent with the view that short sellers act as informed traders, we find...
Persistent link: https://www.econbiz.de/10013139762
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Policy shifts and Markov-switching in financial markets
Reher, Gerrit - 2010
Persistent link: https://www.econbiz.de/10009125898
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Daily Short Selling Around Reverse Stock Splits
Blau, Benjamin M.; Cox, Justin; Griffith, Todd; Voges, Ryan - 2022
We examine daily short-selling activity and prices around reverse stock splits. Using a difference-in-difference approach with a matched sample of reverse splitting and non-reverse splitting stocks, we show that short selling increases in stocks that reverse split, relative to those that do not....
Persistent link: https://www.econbiz.de/10013404364
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How are Shorts Informed? Short Sellers, News, and Information Processing
Engelberg, Joseph - 2012
We find that a substantial portion of short sellers' trading advantage comes from their ability to analyze publicly available information. Using a database of short sales combined with a database of news releases, we show that the well-documented negative relation between short sales and future...
Persistent link: https://www.econbiz.de/10013116480
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Insider trading regulation and shorting constraints : evaluating the joint effects of two market interventions
Merl, Robert; Stöckl, Thomas; Palan, Stefan - 2021
Persistent link: https://www.econbiz.de/10012631960
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Securities lending and information acquisition
Greppmair, Stefan; Jank, Stephan; Saffi, Pedro A. C.; … - 2024
, which allows fund managers to front-run public disclosure of big short positions and avoid future losses. Fund managers …
Persistent link: https://www.econbiz.de/10014501098
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Short Selling After Hours
Alldredge, Dallin - 2011
Diether, Lee, and Werner (2009) show that, in general, short sellers are contrarian in both contemporaneous and past returns and able to impressively predict future returns, this study examines these trading characteristics during both the trading day and the after-hours period. Interestingly,...
Persistent link: https://www.econbiz.de/10013119499