Short Selling and the Price Discovery Process

• 成果类型: Article
• 署名作者: Boehmer, Ekkehart; Wu, Juan (Julie)
• 署名单位: Universite Catholique de Lille; EDHEC Business School; University System of Georgia; University of Georgia
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhs097
• 发表日期: 2013
• 页码: 287
• 关键词: EARNINGS-ANNOUNCEMENT DRIFT; institutional investors; SHORT-SALES; informational efficiency; MARKET-EFFICIENCY; cross-section; SHORT-SELLERS; stock-prices; constraints; liquidity

摘要

We show that stock prices are more accurate when short sellers are more active. First, in a large panel of NYSE-listed stocks, intraday informational efficiency of prices improves with greater shorting flow. Second, at monthly and annual horizons, more shorting flow accelerates the incorporation of public information into prices. Third, greater shorting flow reduces post-earnings-announcement drift for negative earnings surprises. Fourth, short sellers change their trading around extreme return events in a way that aids price discovery and reduces divergence from fundamental values. These results are robust to various econometric specifications, and their magnitude is economically meaningful. (JEL G14)