<Para ID="Par1">Prior research argues that pessimistic traders can use options as substitutes for short sales particularly when stocks are expensive to short. Motivated by this contention, we examine the relation between put-call ratios, short-selling activity, and constraints to short selling. Results show...</para>

Although the literature provides strong evidence supporting the presence of informed trading in both the option and the short equity markets, it is not clear which market attracts more informed trading. Using a unique dataset that covers intraday transaction data in the option and short equity...

This study examines how the introduction of options affects the level of informed short selling. In particular, we test whether option introductions increases or decreases the level of informed short selling. Our tests are motivated by a theoretical debate in the literature. The first stream of...

Gande and Lewis (2009) show class-action lawsuit filings are anticipated by investors. In this paper, we examine short-selling activity surrounding lawsuit filings and find that short activity surges in the days before the filing. However, short-selling activity remains significantly high until...

The purpose of this paper is to provide an explanation for relative pricing of futures contracts with respect to underlying stocks based on short sales constraints and informational lags between the two markets. In this model stocks and futures are perfect substitutes, except that short sales...

This paper sheds further light on whether short selling can be associated with negative returns in the spot market. It provides evidence for the case of the capital market of the Athens Exchange (ATHEX) that is empirically tested for the first time, during the period 2003–2007. This market...

Prior work shows that both short sales and put options contain information about future stock prices. In this study, we compare the return predictability in short sales to the return predictability in put options. The motivation for this comparison is based on the theoretical argument that...

While Diether, Lee, and Werner (2009) find that daily shorting activity is serially correlated, this study uses more formal tests and finds significant first-order autocorrelation in daily short volume. Contrary to prior research that suggests that autocorrelation in total trade volume is...

Christophe et al. (2010) find evidence of abnormal short activity prior to analyst downgrades and argue that short sellers may be violating SEC insider-trading laws by trading on information obtained from analysts about upcoming downgrades. However, observing abnormal shorting prior to...

Diether, Lee, and Werner (2009) show that, in general, short sellers are contrarian in both contemporaneous and past returns and able to impressively predict future returns. This study examines these trading characteristics during both the trading day and the after-hours period. Interestingly,...