Keywords: Short selling, informed traders, news media, international stock market
JEL Code: G12, G14, G15
학회소식
[2022년 5차 CAFM2022]Short Seller Skills in the Global Context: Public News Processing vs. Private Information Gathering
작성자 : 관리자
조회수 : 377
게시일 :
2022-12-20
Using international data on equity loans and financial news stories across 29 countries, I find that short sellers’ informational advantage comes mostly from their superior ability to process public news. With a novel method to estimate the amount of shorting from outstanding equity loans, I show that high short-selling activities on news days correspond to 10 times lower returns in the next 5–20 days than those following high short-selling activities on non-news days. In contrast, short selling before news releases does not predict sizable returns on news days. My findings indicate that short sellers in international stock markets profit mainly from trading on public news rather than from gathering private information.
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