Supply and Demand Shifts in The Shorting Market  

Oleh:

Cohen, Lauren ; Diether, Karl B. ; Malloy, Christopher J.

Jenis: Article from Journal - ilmiah internasional
Dalam koleksi: The Journal of Finance (EBSCO) vol. 62 no. 5 (Oct. 2007), page 2061-2096.
Topik: demand; supply; demand; shifts; shorting market
Fulltext: p 2061.pdf (190.74KB)

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Perpustakaan Pusat (Semanggi) Nomor Panggil: JJ88 Non-tandon: 1 (dapat dipinjam: 0) Tandon: tidak ada

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Isi artikel

Using proprietary data on stock loan fees and quantities from a large institutional investor, we examine the link between the sorting market and stock prices. Employing a unique identification strategy, we isolate shifts in the supply and demand for shorting. We find that shorting demand is an important predictor of future stock returns : an increase in shorting demand leads to negative abnormal returns of 2,98% in the following month. Second, we show that our results are stronger in environments with less public information flow, suggesting that the shorting market is an important mechanism for private information revelation.

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