When Do Informed Short Sellers Trade? Evidence from Intraday Data and Implications for Informed Trading Models

Autor:	Charles M. Jones, Xiaoyan Zhang, Danqi Hu
Rok vydání:	2021
Předmět:	Time pattern Earnings Institutional investor Business Monetary economics Stock (geology)
Zdroj:	SSRN Electronic Journal.
ISSN:	1556-5068 2015-2019
DOI:	10.2139/ssrn.3761523
Popis:	Using intraday 2015-2019 short sale data from CBOE and FINRA, we examine the intraday time patterns and information content of on-exchange and off-exchange shorting. Midday short sales and those near the open strongly and negatively predict the cross-section of stock returns at daily horizons and up to 12 weeks ahead. Short sales near the close are only informative at next-day horizons. We also connect earnings/analyst news to shorting flows. Shorting near the open reacts strongly to and anticipates bad-news releases. Shorting near the close only anticipates post-close firm news. Our evidence supports both Kyle (1985) and Holden and Subrahmanyam (1992).
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_________::8f10e4b447aae1479a7a21e4ec374e4f https://doi.org/10.2139/ssrn.3761523 Zobrazit plný text záznamu