Shorting Activities and Stock Return Predictability : Evidence from an Information Stock

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

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Author(s)

Related Research Unit(s)

Detail(s)

Original languageEnglish
Publication statusPublished - Oct 2018

Seminar

Title4th ICGS Annual Conference
LocationFudan University
PlaceChina
CityShanghai
Period13 - 14 October 2018

Abstract

Employing the international equity lending markets as a laboratory to capture private information revelation, we show that the ability of shorting to predict negative stock returns drops after the public information shock of a mandatory accounting regulation, thus reducing short-sellers’ profitability. We also show that shorting profitability drops due to a decrease in investors’ divergence of opinion coincident with the public information shock. These results imply that the introduction of a mandatory accounting regulation can crowd 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, Equity return predictability, Regulatory accounting shock, Private and public information

Citation Format(s)

Shorting Activities and Stock Return Predictability : Evidence from an Information Stock. / Griffin, Paul A.; Hong, Hyun A.; Kalcheva, Ivalina; Kim, Jeong-Bon.

2018. 4th ICGS Annual Conference, Shanghai, China.

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