SHORTING ACTIVITY AND STOCK RETURN PREDICTABILITY : EVIDENCE FROM AN INFORMATION SHOCK

Research output: Chapters, Conference Papers, Creative and Literary Works (RGC: 12, 32, 41, 45)32_Refereed conference paper (with ISBN/ISSN)peer-review

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Detail(s)

Original languageEnglish
Title of host publicationTHIRTIETH ASIAN-PACIFIC CONFERENCE ON INTERNATIONAL ACCOUNTING ISSUES
Subtitle of host publicationPROGRAM & PROCEEDINGS
ISBN (Electronic)2471-7274
Publication statusPublished - Nov 2018

Conference

Title30th Asia Pacific Conference on International Accounting Issue
PlaceUnited States
CitySan Francisco
Period11 - 14 November 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 future stock returns drops after the public information shock of a mandatory accounting change, 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 change that increases public information flow 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, Information shock, Private and public information

Citation Format(s)

SHORTING ACTIVITY AND STOCK RETURN PREDICTABILITY : EVIDENCE FROM AN INFORMATION SHOCK. / Griffina, Paul A.; Hong, Hyun A.; Kalcheva, Ivalina; Kim, Jeong-Bon.

THIRTIETH ASIAN-PACIFIC CONFERENCE ON INTERNATIONAL ACCOUNTING ISSUES: PROGRAM & PROCEEDINGS. 2018.

Research output: Chapters, Conference Papers, Creative and Literary Works (RGC: 12, 32, 41, 45)32_Refereed conference paper (with ISBN/ISSN)peer-review