Short sellers and the informativeness of stock prices with respect to future earnings

• 成果类型: Article
• 署名作者: Drake, Michael S.; Myers, James N.; Myers, Linda A.; Stuart, Michael D.
• 署名单位: Brigham Young University; University of Arkansas System; University of Arkansas Fayetteville; Vanderbilt University
• 刊物名称: REVIEW OF ACCOUNTING STUDIES
• ISSN/ISSBN: 1380-6653
• DOI: 10.1007/s11142-014-9313-8
• 发表日期: 2015
• 页码: 747-774
• 关键词: institutional investors; cross-section; analysts; equity; forecasts; return; persistence; disclosure; OWNERSHIP; revisions

摘要

We examine whether short interest improves the informativeness of stock prices with respect to future earnings. We find that short selling strengthens the relation between current returns and future earnings, especially in settings where short sellers are likely to possess an information advantage, such as when a firm's information environment is weak or when analysts are highly optimistic about future earnings growth. Collectively, our results illustrate the important role that short sellers play in improving the extent to which current stock prices reflect information about future earnings and thus in improving market efficiency.