Shorting Activity, Private Information Flow, and Return Predictability : International Evidence from IFRS Adoption

Research output: Conference Papers (RGC: 31A, 31B, 32, 33)31A_Invited conference paper (refereed items)peer-review

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Detail(s)

Original languageEnglish
Publication statusPublished - 17 Mar 2018

Conference

TitleEast Lake Accounting Forum (2018)
LocationHuazhong University of Science and Technology (HUST)
PlaceChina
CityWuhan
Period17 - 18 March 2018

Abstract

Employing the 2005 mandatory adoption of International Financial Reporting Standards (IFRS) as an exogneous information shock and the equity-lending market as a laboratory to capture private information revelation, we show that the ability of shorting to predict negative stock returns drops after the shock of mandatory IFRS, thus reducing short-sellers’ profitability. We also show that shorting profitability decreases due to a decrease in investors’ divergence of opinion coincident with IFRS. These results imply that the shock of IFRS had the effect of crowding out short-sellers’ use of private information, consistent with a substitutional relation between public and private information.

Research Area(s)

  • equity lending market, short selling, mandatory IFRS, equity return predictability, private and public information

Citation Format(s)

Shorting Activity, Private Information Flow, and Return Predictability : International Evidence from IFRS Adoption. / Griffin, Paul A.; Hong, Hyun A.; Kalcheva, Ivalina; Kim, Jeong-Bon.

2018. East Lake Accounting Forum (2018), Wuhan, China.

Research output: Conference Papers (RGC: 31A, 31B, 32, 33)31A_Invited conference paper (refereed items)peer-review