Competition of the informed: Does the presence of short sellers affect insider selling?

• 成果类型: Article
• 署名作者: Massa, Massimo; Qian, Wenlan; Xu, Weibiao; Zhang, Hong
• 署名单位: INSEAD Business School; National University of Singapore; Nankai University; Tsinghua University
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2015.08.004
• 发表日期: 2015
• 页码: 268-288
• 关键词: Short selling; Insider trading; Informed trader; market efficiency

摘要

We study how the presence of short sellers affects the incentives of the insiders to trade on negative information. We show it induces insiders to sell more (shares from their existing stakes) and trade faster to preempt the potential competition from short sellers. An experiment and instrumental variable analysis confirm this causal relationship. The effects are stronger for opportunistic (i.e., more informed) insider trades and when short sellers' attention is high. Return predictability of insider sales only occurs in stocks with high short-selling potential, suggesting that short sellers indirectly enhance the speed of information dissemination by accelerating trading by insiders. (C) 2015 Elsevier B.V. All rights reserved.