Short-Selling and Floating Constraints and Cross-Listed Stock Prices

2009 ◽  
Author(s):  
Steven Shuye Wang ◽  
Wei Li
Keyword(s):  
Stock Prices ◽  
Short Selling

Short Selling and Price Pressures in the Korean Stock Market

2015 ◽  
Vol 23 (2) ◽  
pp. 265-287
Author(s):  
Yeongseop Rhee ◽  
Sang Buhm Hahn
Keyword(s):  
Stock Market ◽  
Stock Prices ◽  
Stock Price ◽  
Short Selling ◽  
Market Liquidity ◽  
Dynamic Panel Model ◽  
Market Sentiment ◽  
Order Imbalance ◽  
Price Decline ◽  
Korean Stock Market

This paper examines short-selling activity focusing on its behavior during non-normal times of occasional excesses in the Korean stock market. Using the methodology explained by Brunnermeier and Pederson (2005) and Shkilko et al. (2009; 2012), we first examine whether short-selling is predatory on those event days of large price reversals. Overall there is little predatory abnormal short-selling in the pre-rebound phase and we can observe active contrarian short-selling in the post-rebound phase. When we compared aggressiveness between short-selling and non-short-selling using order imbalance variables, we found that non-short selling is much more aggressive than short selling in the Korean stock market. From the observation of market liquidity measured by quoted spreads, we could find that market liquidity is somewhat limited during price decline stages while it slightly improves during price reversal phases. Also, using dynamic panel model, we test the influences of those variables on stock price changes and disaggregate the compound effect of short-selling reflected in trading volume itself into differentiated ones not only through pure trading channel but also through other complicated channels such as market sentiment change. Main findings from the regression results are as follows : In the Korean stock market, short sellers seem to behave as a contrarian trader rather than a momentum trader; seller-initiated aggressive trading, whether it is by short-selling or non-short-selling, leads to negative order imbalance and price decline; market liquidity is limited by short-selling and further pressure on price decline is added in the pre-rebound stage; and stock prices are affected not only through pure selling (buying) channel but also through other channels in the Korean stock market.

scholarly journals Short Selling and Firms' Disclosure of Bad News: Evidence from Regulation SHO

2019 ◽  
Vol 4 (1) ◽  
pp. 1-23 ◽  
Author(s):  
Gregory J. Clinch ◽  
Wei Li ◽  
Yunyan Zhang
Keyword(s):  
Stock Prices ◽  
Short Selling ◽  
Bad News ◽  
Good News ◽  
Management Forecasts ◽  
Timely Manner ◽  
Short Sellers ◽  
Informed Traders ◽  
Sec Regulation ◽  
Reputational Costs

As informed traders, short sellers enhance the informativeness of stock prices, especially related to bad news, potentially reducing the benefits and increasing litigation and reputational costs of withholding bad news by managers. We exploit a quasi-natural experimental setting provided by the introduction of SEC regulation SHO (Reg-SHO), which significantly reduced the constraints faced by short sellers for an effectively randomly selected subsample of U.S. firms (pilot firms). Relative to control firms, we find pilot firms increase the likelihood of voluntary bad news management forecasts, provide these forecasts in a more timely manner, and accelerate the release of quarterly bad earnings news. Each of these effects is stronger for subsamples of moderate (compared with extreme) bad news, firms facing high (relative to low) litigation risks, and firms with a forecasting history. Similar effects are not observed for voluntary good news forecasts. A range of robustness tests reinforce our results. JEL Classifications: G14; D22; K22; K41; M40.

Short-Selling and Information Arrival around Earnings Announcements: Evidence from Regulation SHO

2021 ◽  
Author(s):  
Greg Clinch ◽  
Wei Li
Keyword(s):  
Stock Prices ◽  
Earnings Announcements ◽  
Public Information ◽  
Short Selling ◽  
Price Informativeness ◽  
The Public ◽  
Short Sellers ◽  
Information Release ◽  
Negative News ◽  
Shed Light

Short sellers assist in impounding negative news more quickly into stock prices and improve price informativeness. However, there is a lack of consistent evidence about whether short sellers trade predominantly in anticipation of, or in response to, a public information release. To shed light on this question, we exploit Reg SHO, which reduced the constraints faced by short sellers for a subsample of U.S. firms, to examine price informativeness before, during and after earnings announcements. We show that relative to control firms, pilot firms have greater (less) price informativeness before (during) earnings announcements, suggesting that short sellers trade in anticipation of public earnings news, rather than in response to the public news.

scholarly journals Retail Short Selling and Stock Prices

2016 ◽  
Vol 30 (3) ◽  
pp. 801-834 ◽  
Author(s):  
Eric K. Kelley ◽  
Paul C. Tetlock
Keyword(s):  
Stock Prices ◽  
Short Selling

scholarly journals Retail Short Selling and Stock Prices

2013 ◽  
Author(s):  
Eric K. Kelley ◽  
Paul C. Tetlock
Keyword(s):  
Stock Prices ◽  
Short Selling

scholarly journals Short-Selling Bans and the Global Financial Crisis: Are They Interconnected?

2018 ◽  
Vol 64 (2) ◽  
pp. 159-177
Author(s):  
Martin T. Bohl ◽  
Badye Essid ◽  
Pierre L. Siklos
Keyword(s):  
Financial Crisis ◽  
Stock Prices ◽  
Global Financial Crisis ◽  
Short Selling ◽  
Equity Returns ◽  
Policy Makers ◽  
Advanced Economies ◽  
The Individual ◽  
The Global Financial Crisis ◽  
Jel Classifications

Abstract This paper begins with the observation that short-selling bans spread globally in 2008. We find some evidence that the bans were unsuccessful at least insofar as they did not take into account the global component a short-selling ban which reduced equity returns in about a third of the 17 countries sampled, most notably in some of the major advanced economies. In the individual countries we examine, the bans had relatively little impact. Our results are suggestive as evidence that the bans stemmed further deterioration in stock prices that policy makers sought to avoid, at least in a few economies. JEL classifications: G10, G12 Keywords: Short-selling bans, spillovers, stock markets, dynamic conditional correlations

Disciplining Role of Short Sellers: Evidence From M&A Activity

2020 ◽  
pp. 014920632091230
Author(s):  
Wei Shi ◽  
Hermann Achidi Ndofor ◽  
Robert E. Hoskisson
Keyword(s):  
Stock Prices ◽  
Negative Influence ◽  
Negative Information ◽  
Short Selling ◽  
Decision Quality ◽  
Governance Mechanism ◽  
Short Sellers ◽  
Top Managers ◽  
External Governance

Prior research has focused on the influence of long investors (e.g., institutional investors) on merger-and-acquisition (M&A) decisions. This study investigates the role of short sellers in shaping managerial acquisitiveness and M&A decision quality. Short sellers impose a downward pressure on stock prices by disseminating negative information to the market. Given that managerial wealth and job security hinge on stock prices, top managers respond to increased short selling by refraining from excessive M&A activities because M&As could provide opportunities for short sellers to spread negative information and dampen stock prices. Furthermore, the negative influence of short sellers on managerial acquisitiveness is enhanced by the market for corporate control as an external governance mechanism and by CEO equity ownership as an internal governance mechanism. When firms with increasing short selling do engage in M&As, they gain higher M&A announcement returns and operating performance. We test our hypotheses using firms in the S&P 1500 from 2002 to 2014 and find support for our arguments.

Short-sale prohibitions, firm characteristics and stock returns: evidence from Chinese market

2017 ◽  
Vol 7 (4) ◽  
pp. 407-428 ◽  
Author(s):  
Rui Li ◽  
Jiahui Li ◽  
Jinjian Yuan
Keyword(s):  
Stock Returns ◽  
Stock Prices ◽  
Short Selling ◽  
Control Group ◽  
Performance Difference ◽  
Chinese Market ◽  
Content Type ◽  
Short Sale ◽  
Event Date ◽  
Fundamental Value

Purpose The purpose of this paper is to empirically analyze the impacts of short prohibitions on stock prices. Design/methodology/approach The authors adopt event study in this paper. First, the authors match each shortable stocks with one unshortable stocks by the propensity score matching method. Second, the authors check the performance difference between treatment group and control group after the event date. Third, the authors check the performance difference among sub-groups sorted by other factors associated with stock returns. Findings The authors find that stocks do not decline necessarily after removal of short prohibitions; only those heavily overpriced stocks, such as small stocks, lower B/M or P/E stocks and higher turnover stocks, decline significantly. Research limitations/implications The media falsely stated that short selling lead to market crash; otherwise, short selling is beneficial for improving market efficiency as it is helpful for keeping overpriced stocks in line with the fundamental value. Originality/value This is the first paper showing that removal of short prohibitions only impacts heavily overpriced stocks significantly, which is valuable for policy making.

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