Shorting flows, public disclosure, and market efficiency

• 成果类型: Article
• 署名作者: Wang, Xue; Yan, Xuemin (Sterling); Zheng, Lingling
• 署名单位: University of International Business & Economics; University of Missouri System; University of Missouri Columbia; Lehigh University; Renmin University of China
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2019.05.018
• 发表日期: 2020
• 页码: 191-212
• 关键词: Short sale; public disclosure; Return predictability; anomalies

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 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.