Capitalizing on Catastrophe: Short Selling Insurance Stocks Around Hurricanes Katrina and Rita
研究了卡特里娜和丽塔飓风前后保险股的卖空活动，发现丽塔飓风前卖空显著增加，而卡特里娜飓风后卖空才上升，对理解市场对灾难的反应有参考价值。
Abstract We develop several hypotheses regarding short‐selling activity around Hurricanes Katrina and Rita. We find that abnormal short selling does not increase until 2 trading days after the landfall of Katrina and that short‐selling activity is much more significant around Rita. We find a substantial increase in short‐selling activity in the trading days prior to the landfall of Rita and relatively less short‐selling activity in the trading days after landfall. There is little evidence that suggests that traders short insurance stocks with more potential exposure in the Gulf region than other insurance stocks in the days before landfall.