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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)

主页: http://zjuwgj.econ.ucdavis.edu/index.cfm?employeeid=567&currentNav=91&currentMenu=167
 

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

 

讲座语言:英语/中文

 

地点:武东路100号同德楼 111

 

Abstract

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.

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