Christophe, Stephen E.; Ferri, Michael G.; Angel, James J. - In: Journal of Finance 59 (2004) 4, pp. 1845-1876
This paper examines short-sales transactions in the five days prior to earnings announcements of 913 Nasdaq-listed firms. The tests provide evidence of informed trading in pre-announcement short-selling because they reveal that abnormal short-selling is significantly linked to post-announcement...