Information advantage, short sales, and stock returns: Evidence from short selling reform in China
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- 作者：Xunan Fenga ; xunanfeng@gmail.com" class="auth_mail" title="E-mail the corresponding author ; Kam C. Chanb ; johnny.chan@wku.edu" class="auth_mail" title="E-mail the corresponding author
- 关键词：G11 ; G14 ; G18
- 刊名：Economic Modelling
- 出版年：2016
- 出版时间：December 2016
- 年：2016
- 卷：59
- 期：Complete
- 页码：131-142
- 全文大小：336 K
文摘
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We study short selling around earnings announcements in China
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Short sellers increase their short positions before negative earnings surprise.
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Abnormal high short selling is associated with future negative stock returns.
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Short sellers, on average, are informed and sophisticated traders.
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Poor governance firms have high abnormal short selling.