您现在的位置: shufe >> 首页 >> 学术天地 >> 活动预告 >> 正文

普通文章No.332 Non-performing Loans in Housing Bubbles
普通文章No.331 Senior Lender Control Rights and Cost of Debt
普通文章No.330 Spillover Effects in Executive Compensation
普通文章No.329 Dynamic Coordination and Intervention Policy
普通文章No.328 What Moves Aggregate Investment (and Net Hiring): Investor Sentiment or Time-Varying Equity Premium?
普通文章No.327 Corruption Culture and Corporate Misconduct

Informed Short Sellers and Stock Price Reactions to Earnings Anouncements: Evidence from China
发布时间:2013-6-3 来源:本站原创  

本周二(64日)上午 10:00学术讲座提醒:


主讲人:Guojun Wang (UC Davis)


演讲题目:Informed Short Sellers and Stock Price Reactions to Earnings Anouncements: Evidence from China




地点:武东路100号同德楼 111



Using the special event of short selling ban removal in the Chinese stock market in March 2010, I study the relationship between short selling activities and future stock returns and the effect of short selling constraints on stock price reactions to earnings announcements. I find strong evidence supporting the Diamond and Verrecchia (1987) hypothesis that an unexpected increase in short interest predicts negative stock future returns. The long-short portfolio that buys stocks with a decline or no change in short interest and shorts stocks with an increase in short interest is able to generate a significant positive return in the following week. The positive return is strongest during the first two days, is most significant in three industries: properties, conglomerates, and industrials, is highest for big firms, growth stocks, and stocks with high short interest. Moreover, I also confirm the Diamond and Verrecchia (1987) prediction that reducing short sale constraints leads to smaller price adjustments on the private information announcement day as the stock price reaction to earnings surprises on earnings announcement day is found to be 70% lower after the short sale ban is removed. However, I dont find evidence supporting their prediction that the reduction in price reaction is larger when negative news is released due to data limitations.

  • 上一篇文章:

  • 下一篇文章:

  • 版权所有 上海财经大学金融学院
    通讯地址: 上海市国定路777号;  办公地址:上海市武东路100号毓秀楼

     邮编:200433           电话 021-65904556             传真:021-65103925