How are shorts informed? Short sellers, news, and information processing

• 成果类型: Article
• 署名作者: Engelberg, Joseph E.; Reed, Adam V.; Ringgenberg, Matthew C.
• 署名单位: University of North Carolina; University of North Carolina Chapel Hill; University of California System; University of California San Diego; Washington University (WUSTL)
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2012.03.001
• 发表日期: 2012
• 页码: 260-278
• 关键词: Asymmetric information; manipulation; News media; SHORT SALES

摘要

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 returns is twice as large on news days and four times as large on days with negative news. Further, we find that the most informed short sales are not from market makers but rather from clients, and we find only weak evidence that short sellers anticipate news events. Overall, the evidence suggests that public news provides valuable trading opportunities for short sellers who are skilled information processors. (C) 2012 Elsevier B.V. All rights reserved.