Does Short Selling Amplify Price Declines or Align Stocks with Their Fundamental Values?
研究发现，卖空者在股价下跌后增加的空头头寸与基于财务报表分析的高估指标相关，表明卖空主要基于估值策略，限制卖空会阻碍价格发现。
Critics of short selling argue that short sellers amplify price declines by targeting firms with falling prices in an unwarranted manner. Contrary to this viewpoint, we find that increases in short interest for firms following a price decline are associated with measures of overpricing based on financial statement analysis. Our results extend to short-selling activity following marketwide declines. We also find evidence consistent with the profitability of short selling following price declines being driven by valuation-based positions. Overall, our findings suggest short sellers primarily undertake valuation-based strategies following price declines and have implications for regulators. Limiting short selling following price declines is likely to impede efficient price discovery. This paper was accepted by Mary Barth, accounting.