Short‐Selling Prior to Earnings Announcements
研究纳斯达克上市公司盈利公告前五天的卖空交易，发现异常卖空与公告后股票回报显著相关，表明卖空者利用私有信息交易，且更活跃于低账面市值比或低标准化意外盈利的股票。
ABSTRACT This paper examines short‐sales transactions in the five days prior to earnings announcements of 913 Nasdaq‐listed firms. The tests provide evidence of informed trading in pre‐announcement short‐selling because they reveal that abnormal short‐selling is significantly linked to post‐announcement stock returns. Also, the tests indicate that short‐sellers typically are more active in stocks with low book‐to‐market valuations or low SUEs. The levels of pre‐announcement short‐selling, however, mostly appear to reflect firm‐specific information rather than these fundamental financial characteristics. We believe that these results should encourage financial market regulators to consider providing more extensive and timely disclosures of short‐selling to investors.