The Effect of Short Selling on Market Reactions to Earnings Announcements
研究了卖空需求如何影响股票对盈余公告的价格反应，发现高卖空比例公司的极端好消息反应更大、极端坏消息反应更小，且后续盈余漂移幅度不同。
This paper examines the effect of the inherent demand implied by short interest by studying how stock price reactions to earnings announcements depend on the level of short interest. We find that, for extreme good and bad news events, the inherent demand increases stock prices around the earnings announcement date, with the effect being stronger for good news relative to bad news. Specifically, the initial market reaction to an extreme positive earnings surprise is larger for firms with high levels of short interest. On the other hand, for an extreme negative earnings surprise event, the initial market reaction is less negative for heavily shorted firms. Furthermore, we find that the post‐earnings‐announcement drift is smaller (larger) in magnitude for extreme positive (negative) earnings surprises for the heavily shorted firms.