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
Author(s)
Related Research Unit(s)
Detail(s)
| Original language | English |
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| Publication status | Published - 17 Mar 2018 |
Conference
| Title | East Lake Accounting Forum (2018) |
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| Location | Huazhong University of Science and Technology (HUST) |
| Place | China |
| City | Wuhan |
| Period | 17 - 18 March 2018 |
Link(s)
| Permanent Link | https://scholars.cityu.edu.hk/en/publications/publication(0b7c8417-ddbf-4901-89be-1164d5517249).html |
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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
