Short-Selling and Information Arrival around Earnings Announcements: Evidence from Regulation SHO

• 成果类型: Article
• 署名作者: Clinch, Greg; Li, Wei
• 署名单位: Deakin University; University of Adelaide
• 刊物名称: ACCOUNTING REVIEW
• ISSN/ISSBN: 0001-4826
• DOI: 10.2308/TAR-2018-0459
• 发表日期: 2021
• 页码: 237-258
• 关键词: trade execution costs; SHORT SELLERS; market quality; stock-prices; adjustment; management; BEHAVIOR; equity; tests

摘要

Short sellers assist in impounding negative news more quickly into stock prices and improve price informativeness. However, there is a lack of consistent evidence about whether short sellers trade predominantly in anticipation of, or in response to, a public information release. To shed light on this question, we exploit Reg SHO, which reduced the constraints faced by short sellers for a subsample of U.S. firms, to examine price informativeness before, during, and after earnings announcements. We show that relative to control firms, pilot firms have greater (less) price informativeness before (during) earnings announcements, suggesting that short sellers trade in anticipation of public earnings news, rather than in response to the public news.