Short - Selling Prior to Earnings Announcements  

Oleh:

Ferri, Michael G. ; Angel, James J. ; Christophe, Stephen E.

Jenis: Article from Journal - ilmiah internasional
Dalam koleksi: The Journal of Finance (EBSCO) vol. 59 no. 4 (Aug. 2004), page 1845-1876.
Topik: SELLING; studies; short sales; earnings announcements; correlation analysis; insider trading; disclosure
Fulltext: p 1845.pdf (213.4KB)

Ketersediaan

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

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Isi artikel

This paper examines short - sales transactions in the five days prior to earnings announcements of 913 Nasdaq - listed firms. The tests provide evidence of informed trading in pre - announcement short - selling because they reveal that abnormal short - selling is significantly linked to post - announcement stock returns. Also, the tests indicate that short - sellers typically are more active in stocks with low book-to - market valuations or low SUEs. The levels of pre - announcement short - selling, however, mostly appear to reflect firm - specific information rather than these fundamental financial characteristics. We believe that these results should encourage financial market regulators to consider providing more extensive and timely disclosures of short - selling to investors.

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