卖空者与内幕交易——来自中国证券市场的证据

本文研究上市公司内部人减持、年报、诉讼、分析师评级、停复牌以及高送转等重大公告前后卖空交易行为的变化,系统考察卖空者是否参与内幕交易以及何种因素影响卖空者参与内幕交易,发现卖空率较高的股票具有较低的未来收益,表明卖空者拥有信息优势,属知情交易者;卖空者拥有非常精确的择时交易能力,在重大利空公告前显著增加卖空量,而在利好公告前则显著减少卖空头寸,表明卖空者作为知情交易者的信息优势源自内幕消息;公司内、外部投资者的信息不对称程度越低或公司所在地的法治水平越高,卖空者参与内幕交易的行为就越少。因此,监管机构应密切关注公司重大消息发布前后卖空量的异常变动,同时,完善信息披露规则、健全证券分析师制度并强化法律法规的执行力度,才能有效防范卖空者参与内幕交易。     

Short‐Selling Risk

Short sellers face unique risks, such as the risk that stock loans become expensive and the risk that stock loans are recalled. We show that short‐selling risk affects prices among the cross‐section of stocks. Stocks with more short‐selling risk have lower returns, less price efficiency, and less short selling.     

Assessing the information content of short-selling metrics using daily disclosures

As a consequence of the 2008 financial crisis, the Australian regulator mandated daily reporting and disclosure of both short flow and short interest at an individual stock level. This provides a unique opportunity to study the nature and source of information embedded in each metric. Our empirical findings are consistent with short sellers being heterogeneous with respect to their information. Short flow is strongly related to recent returns and buy-order imbalance, and both anticipates and reacts to price-relevant announcements. In contrast, short interest is related to the mispricing of firm fundamentals. The distinct differences in the nature of information embedded in the two metrics provide an economic rationale for both the unique ability of each metric to predict returns and the future horizons over which the information is relevant.     

Short Interest,Returns, and Unfavorable Fundamental Information

Several months before information becomes public, the level of short interest contains value‐relevant information about publicly traded corporations. Short interest predicts future bad news, negative earnings surprises, and downward revisions in analyst earnings forecasts. This informational content is stronger for stocks that are harder to short. We also find that nearly half of the well‐known cross‐sectional relation between short interest and future stock returns is related to future changes in firms’ value‐relevant information. Our results suggest that short interest predicts future returns, in part, due to short sellers’ ability to uncover unfavorable information about firms.     

STOCK PRICES AND INFLATION

Numerous empirical studies establish that inflation has a negative short‐run effect on stock returns but few studies report a positive, long‐run Fisher effect for stock returns. Using stock price and goods price data from six industrial countries, we show that long‐run Fisher elasticities of stock prices with respect to goods prices exceed unity and range from 1.04 to 1.65, which tends to support the Fisher effect. We also find that the time path of the response of stock prices to a shock in goods prices exhibits an initial negative response, which turns positive over longer horizons. These results help reconcile previous short‐run and long‐run empirical evidence on stock returns and inflation. Also, they reveal that stock prices have a long memory with respect to inflation shocks, such that investors should expect stocks to be a good inflation hedge over a long holding period. JEL Classification: G12     

Short-sale refinancing and price adjustment speed to bad news: Evidence from a quasi-natural experiment in China

Short selling may accelerate stock price adjustment to negative news. However, the literature provides mixed evidence for this prediction. Using short-sale refinancing and a staggered difference-in-differences (DID) model, this paper explores the effect of short selling on stock price adjustment. Our results show that (1) short-sale refinancing improves the speed of stock price adjustment to negative news. This result holds after we control for endogeneity. (2) The positive relationship between short-sale refinancing and stock price adjustment speed is significant in subsamples of stocks with higher earnings management or lower accuracy of analyst forecasts, indicating that firms with more opaque information are more likely to be targeted by short sellers. In subsamples of stocks with a higher ownership concentration or lower ownership by institutional investors, short selling is more likely to increase the speed of stock price adjustment, indicating that ownership structure may influence negative news mining. (3) As short-sale refinancing exacerbates the absorption of bad news by stock prices, it increases crash risk. This study enriches the research on the economic consequences of short selling and provides empirical evidence supporting regulations on short selling in China.     

Short interest and stock price crash risk

Using a large sample of U.S. public firms, we find robust evidence that short interest is positively related to one-year ahead stock price crash risk. The evidence is consistent with the view that short sellers are able to detect bad news hoarding by managers. Additional findings show that the positive relation between short interest and future crash risk is more salient for firms with weak governance mechanisms, excessive risk-taking behavior, and high information asymmetry between managers and shareholders. Empirical support is provided showing that the relation between short interest and crash risk is driven by bad news hoarding.     

Shorting flows,public disclosure,and market efficiency

Shorting flows remain a significant predictor of negative future stock returns during 2010–2015, when daily short-sale volume data are published in real time. This predictability decays slowly and lasts for a year. Long-term shorting flows are more informative than short-term shorting flows. Indeed, abnormal short-term shorting flows do not predict future returns or anticipate bad news. We find that short sellers exploit prominent anomalies. A comparison with the Regulation SHO data indicates that the predictability is much shorter-term during 2005–2007. Short sellers appear to have shifted from trading on short-term private information to trading on long-term public information that is gradually incorporated into prices.     

Microstructure and reverse stock splits

In this paper we show that, similar to NYSE/AMEX stocks, NASDAQ stocks exhibit significant ex date returns for reverse stock splits. Although the 10-day cumulative return after the ex date is close to –10%, this does not violate market efficiency, because the average bid-ask spread for the reverse split stock is at least double this return. We also document that these large negative returns are mostly due to a drop in the ask price while bid prices barely change at all. Furthermore, the ex date returns are negatively related to trading volume.These results suggest that there is abnormal selling and a significant buildup of market makers' inventories near the ex date. To reduce the inventory buildup, market makers lower ask prices to induce buying by investors, resulting in the observed negative returns. Lowering bid prices, an alternative strategy for reducing inventories, is not attractive to market makers due to competitive factors and the reduction of commissions associated with a smaller number of transactions. Notably, selling investors have no incentives to sell their stocks early to avoid the observed negative ex date return, since this return is largely an ask price phenomenon and does not represent realized returns to sellers.     

Stock returns,inflation and interest rates in the United Kingdom

The Fisherian theory of interest asserts that a fully perceived change in inflation would be reflected in nominal interest rates and stock returns in the same direction in the long run. This paper examines the Fisherian hypothesis of asset returns using alternative techniques of linear regression, and vector error correction models to examine the nature of the relationship between stock returns and inflation in the UK. Consistent with the Fisherian hypothesis, empirical evidence in the linear regression model suggests a positive and statistically significant relationship between stock returns and inflation, which regards common stock as a good hedge against inflation. The results based on the unit root and cointegration tests indicate a long-run reliable relationship between price levels, share prices, and interest rates which could be interpreted as the long-run determinants of stock returns. The findings also suggest a bidirectional relationship between stock returns and inflation. The evidence of a significant Fisher effect is robust across model specifications.     

Striking oil: Another puzzle?

Changes in oil prices predict stock market returns worldwide. We find significant predictability in both developed and emerging markets. These results cannot be explained by time-varying risk premia as oil price changes also significantly predict negative excess returns. Investors seem to underreact to information in the price of oil. A rise in oil prices drastically lowers future stock returns. Consistent with the hypothesis of a delayed reaction by investors, the relation between monthly stock returns and lagged monthly oil price changes strengthens once we introduce lags of several trading days between monthly stock returns and lagged monthly oil price changes.     

Asymmetric Price and Volatility Adjustments in Emerging Asian Stock Markets

This paper tests the hypothesis that stock returns in emerging stock markets adjust asymmetrically to past information. The evidence suggests that both the conditional mean and the conditional variance respond asymmetrically to past information. In agreement with studies dealing with developed stock markets, the conditional variance is an asymmetrical function of past innovations, rising proportionately more during market declines. More importantly, the conditional mean is also an asymmetrical function of past returns. Specifically, positive past returns are more persistent than negative past returns of an equal magnitude. This behaviour is consistent with an asymmetric partial adjustment price model where news suggesting overpricing (negative returns) are incorporated faster into current prices than news suggesting underpricing (positive returns). Furthermore, the asymmetric adjustment of prices to past information could be partially responsible for the asymmetries in the conditional variance if the degree of adjustment and the level of volatility are positively related.     

Daily short interest,idiosyncratic risk,and stock returns

This paper examines the relation between short selling and returns and the impact of arbitrage costs on short sellers’ behavior. Using daily UK short selling data, we find that stocks with low short interest levels experience significant positive returns on both an equal- and value-weighted basis. Economic theory predicts that short sellers avoid establishing positions in stocks with high idiosyncratic risk. Our results indicate a negative relation between short interest and returns among high idiosyncratic risk stocks and that short selling activity is mostly concentrated in low idiosyncratic risk stocks where it is less costly to arbitrage fundamental risk.     

Implications of Short Selling for Corporate Finance

Corporate managers often view short sellers as market manipulators whose actions drive their company's stock price below intrinsic value. But recent academic research suggests that some short sellers are effective in processing publicly available information and that their short selling may provide useful information to market participants. This article summarizes the authors’ own published research, which provides evidence of informed short selling by linking it to changes in corporate fundamentals. More specifically, the authors’ findings indicate that increases in short interest are reliable indicators of an economically (as well as statistically) significant decline in a company's operating performance over the following three years. And when examining changes in short interest around announcements of seasoned equity offerings, the authors also find a negative relation between an increase in short interest and future operating performance. In addition, they find that the greater the increase in short interest in the period leading up to the SEO announcement, the more negative is the stock‐price response to the announcement itself. The authors’ findings suggest that corporate managers can benefit from monitoring the short‐selling activity in their company's stock. Short‐selling data can be used to reassess corporate strategy or rethink major corporate decisions that have been announced but not carried out, and take preemptive actions to forestall impending future declines in performance and so preserve value.     

Are Short Sellers Informed? Evidence from REITs

This paper uses intraday short sale data to examine whether short sellers of Real Estate Investment Trusts (REITs) are informed. We find strong evidence that short selling predicts future returns of REITs. Heavily shorted REITs significantly underperform lightly shorted REITs by approximately 1% over the following 20 trading days. This predictive relation holds for both small and large trades, but is stronger for large short trades. We also document a positive relation between shorting activity and volatility. Our results are consistent with the view that short sellers of REITs are informed and contribute to market efficiency by impounding information into prices.     

Stock‐Split Post‐Announcement Returns: Underreaction or Market Friction?

We explore the relationship between stock splits and subsequent long‐term returns during the period from 1950 to 2000. We find that, contrary to much previous research, firms do not exhibit positive long‐term post‐split returns. Instead, we find that significant positive returns after the announcement date do not persist after the actual date of the stock split. We also observe that abnormal returns are correlated with the price‐delay or market friction. We conclude that the stock‐split post‐announcement “drift” is only of short duration, and it is attributable to trading frictions rather than behavioral biases.     

Short selling,margin buying and stock return in China market

It is well argued that short sellers are informed traders, and short interests predict future stock returns significantly. However, most researches neglect margin buyers, as twin sisters of short sellers, and keep silent about their impact on stock returns. In this article, we demonstrate that margin buyers significantly impact predictive power of conventional short measures. We document that conventional short measures neglecting margin‐buying activities, short interest ratio (SIR) and days to cover (DTC) fail to predict stock return unless our analysis is confined to lightly margin bought stocks. We also show that short‐margin trading ratio (SMTR), revised short measure with consideration of margin buying, predict stock return more sharply. What is more, we can form profitable portfolios by the new short measure.     

Short selling,margin trading,and the incorporation of new information into prices

Utilizing daily data on Chinese stocks' short selling and margin trading activities and intraday stock trade and quote data, we find a positive association between the degree of information efficiency of stock prices and the intensity of short selling and margin trading. Short selling (margin buying) escalates during the 5 days immediately before significant negative (positive) information events, which suggests short sellers (margin buyers) anticipate forthcoming news. Using the adverse selection component of the bid–ask spread as a proxy, we find that short selling and margin trading are associated with an improved information environment. Taken together, our empirical evidence supports the conjecture that short selling and margin trading in the Chinese market help stock prices incorporate new information more efficiently. Utilizing the unique Chinese regulation, we also examine the role of brokerages authorized for such trading and document a non-linear relation between pricing efficiency and the number of authorized brokerages.     

Are Short Sellers Informed? Evidence from the 2007–2008 Subprime Mortgage Crisis

This paper examines the short selling activities around financial firms’ announcements of asset write‐downs during the 2007–2008 subprime mortgage crisis. We find that short sellers accumulate short positions prior to write‐down announcements, and that stocks experience significantly negative returns around such announcements. These results suggest that the return predictability of short interests is due to short sellers’ informational advantage. Furthermore, we show that short sellers increase their positions significantly in the announcement month and keep increasing their positions afterward, suggesting the feedback effect of the disclosed write‐downs on financial firms’ existing exposures. The valuable information contained in the short interest should encourage regulators to mandate stock exchanges disclose short selling activities more frequently.     

Stock Prices and Inflation: New Evidence from the Pacific-Basin Countries

This paper investigates the statistical relationship between stock prices and inflation in nine countries in the Pacific-Basin. On balance, regression analysis on the nine markets shows negative relationships between stock returns in real terms and inflation in the short run, while co-integration tests on the same markets display a positive relationship between the same variables over the long run. The time path of the response of stock prices plotted against corresponding changes in consumer price indices validates this dichotomy in time-related response patterns of stock prices to inflation; namely, a blip of negative responses at the beginning changes to a positive response over a longer period of time. Stock prices in Asia, like those in the U.S. and Europe, appear to reflect a time-varying memory associated with inflation shocks that make stock portfolios a reasonably good hedge against inflation in the long run.