Using the exogenous shock of the COVID-19 pandemic, we study how informed market participants evaluate fiscal space. Short-selling activity shifted upon the onset of the pandemic towards companies with low financial flexibility only in countries with limited fiscal space. Among these companies,...

Purpose: Both short sellers and margin traders believe in active investment. However, they have the opposite opinions about the prediction of future share price direction: while short sellers are those who predict future price declines, investors buying on margin are those who predict future...

Introduction -- Modified Fama-French Factors for REITs and the Impact of Short Selling -- Impacts of the Covid-19 Crisis on US Real Estate Investments: A Sectoral Performance and Spillover Analysis -- ESG Stocks in Times of Crisis: Evidence from US REITs During Covid-19 -- Summary and Conclusion...

We investigate hedge fund firms' unobserved performance (UP), measured as the riskadjusted return difference between a fund firm’s reported return and hypothetical portfolio return derived from its disclosed long equity holdings. Fund firms with high UP outperform those with low UP by 7.2%...

We study the recent Australian experience with yield curve control (YCC) of government bonds as perhaps the best evidence of how this policy might work in other developed economies. We interpret the evidence with a simple model in which YCC affects prices of both government and other bonds via...

The National Pension Service (NPS) of Korea suddenly announced that they would suspend their stock lending business from October 22, 2018. Using this ideal setting, the authors investigate the effects of this suspension on market quality and short-selling activities. The authors find that stock...

The recent emergence of COVID-19 and the subsequent short-selling restriction (SSR) imposed on some equity markets provide us with a unique framework to analyze the effects of this kind of measure on market quality in the context of increasingly automated equity markets. We contribute to the...

This paper evaluates the effectiveness of the COVID-19 temporarily led restriction on short selling by the Stock Exchange of Thailand (SET). We investigate the causal effect of short selling restriction on return, volatility and market quality from 2 September 2019 to 30 September 2020....

In theory, banning short selling stabilizes stock prices but undermines pricing efficiency and has ambiguous impacts on market liquidity. Empirical studies find mixed and conflicting results. This paper leverages cross-country policy variation during the 2020 Covid crisis to assess differential...

We address implementation issues related to Wald tests associated with mean-variance spanning when short positions in portfolios are prohibited. In particular, we exploit the uniqueness of the stochastic discount factor in the presence of a risk-free rate to avoid potential numerical stability...

We examine activist short sellers’ real impacts on their target firms using a novel dataset of new product introductions (NPIs). We document that target firms experience declines in NPIs relative to their matched control firms after being targeted. Target firms also experience reductions in...

We examine daily short-selling activity and prices around reverse stock splits. Using a difference-in-difference approach with a matched sample of reverse splitting and non-reverse splitting stocks, we show that short selling increases in stocks that reverse split, relative to those that do not....

We ask how social media impacts the role of short sellers in financial markets. We find some evidence consistent with manipulation. Prior to high short interest, a stock’s social media tone is abnormally positive, but its traditional media tone is not. Once highly shorted, social media tone...

We examine short selling around firms’ announcements of financial covenant violations. In the 24-month pre-announcement period, short interest steadily increases, peaking in the announcement month at nearly 38% higher. Pre-announcement short interest significantly predicts the likelihood of a...

This study fills the literature gap by employing the longest yet-analyzed period and introduces multiple short selling proxies to explain the relationship between short selling information and bond performance. We examine short selling signals derived from bond and equity markets and find both...

We extract the news component of short-selling activity by accounting for important cross-sectional, distributional differences in short interest data. The resulting measure of surprise in short interest negatively predicts the cross section of both U.S. and international equity returns. Our...

In this paper, we investigate the determinants of daily short selling activity for retail and foreign institutions and their impacts on stock returns, volatility and liquidity in the Taiwan stock markets. By using two metrics to measure the short selling activity for two investor types, we find...

Activist short selling describes the practice of short selling coupled with the publication of negative information about target companies. The success of activist short sellers in driving and profiting from share price declines has attracted much criticism, particularly where it involves the...

Short selling is a topic that generated a great deal of interest during the 2007-08 global financial crisis, with concerns about the practice leading to wholesale reform of Australia’s short selling regulation. Since the GFC, short selling regulation in Australia has remained largely unchanged...

Prior literature documents that short sale activity clusters around mandated short sale position disclosures. We investigate two competing hypotheses for this finding in the UK market: herding- versus information-based trading. First, using an entropy-balanced matched sample of stocks, we find...

This paper studies the pricing of ambiguity or Knightian uncertainty in China stock market with binding short-sale constraints. We measure the stock ambiguity by the dispersion in the probability distribution of the daily stock returns estimated from the trading data, based on the method...

In a noteworthy recent paper, Mitts (2020) presents empirical evidence that published attacks on publicly-traded companies by certain presumed short-sellers generate “V”-shaped pricing patterns, whereby targeted companies’ stock prices fall precipitously when a negative report is...

This study demonstrates an investigation of the external corporate governance effect of short selling mechanisms on firm value in the Chinese context. The effect of family businesses is also examined as a moderator of the relationship between short-selling and firm value. Using panel data...

The aim of this study is to examine the effect of short-selling deregulation on the financial performance of SMEs in China. The external governance role of short-selling is also tested by adopting corporate social responsibility (CSR) performance as the mediating effect. This study investigates...

Purpose: Although a small part of arbitrage trading, short selling has a significant impact on capital markets. This study empirically examines relationships among short selling, earnings managements, and auditor behaviors. Design/methodology/approach: We employed short selling and abnormal...

This paper investigates the effects of short selling on the price discovery process in Borsa Istanbul (BIST). First, we form a proxy of informational efficiency in the BIST and regress this on the short selling ratio and other control variables. Our results confirm the short selling improves...

This study demonstrates an investigation of the external corporate governance effect of short selling mechanisms on firm value in the Chinese context. The effect of family businesses is also examined as a moderator of the relationship between short-selling and firm value. Using panel data...

Using the exogenous shock of the COVID-19 pandemic, we study how informed market participants evaluate fiscal space. Short-selling activity shifted upon the onset of the pandemic towards companies with low financial flexibility only in countries with limited fiscal space. Among these companies,...

Purpose: Both short sellers and margin traders believe in active investment. However, they have the opposite opinions about the prediction of future share price direction: while short sellers are those who predict future price declines, investors buying on margin are those who predict future...

Purpose: Although a small part of arbitrage trading, short selling has a significant impact on capital markets. This study empirically examines relationships among short selling, earnings managements, and auditor behaviors. Design/methodology/approach: We employed short selling and abnormal...