UK Short Selling Activity and Firm Performance
利用2004至2012年英国卖空数据，检验卖空者是否为知情投资者，发现卖空者预测企业绩效的能力仅限于濒临破产或金融危机中的金融企业。
Abstract: We use short selling data from Data Explorers from 2004 to 2012 to investigate the extent to which UK short sellers are informed investors, in accordance with Diamond and Verrecchia's (1987) hypothesis. Our results suggest that heavily‐shorted stocks fail to consistently underperform their lightly‐shorted counterparts. Short sellers’ ability to predict firm performance is limited to firms that struggle for survival, such as firms about to enter bankruptcy or financial firms during the financial crisis. These results provide new evidence regarding the source of short‐sellers’ information and should be of interest to academics, financial regulators and market participants.