Do Short Sellers Front-Run Insider Sales?
利用高频卖空数据，研究发现大型内部人卖出前卖空活动显著增加，且这种增加并非源于公开信息，而是信息泄露导致的抢先交易，在会计质量差的公司中更明显。
ABSTRACT: We study the behavior of short sellers as informed market participants and examine potential sources of their information. Using a newly available dataset with high-frequency short sales data, we find evidence of significant increases in short sales immediately prior to large insider sales, but not prior to small insider sales. We examine a number of explanations that the increase in short sales is driven by public information, either about the firm or about the impending insider sale. The evidence is inconsistent with these explanations, but is consistent with front-running facilitated by leaked information. The front-running appears to be concentrated in firms with poor accounting quality, suggesting that information about a large insider sale reinforces short sellers' adverse opinion about firm value when accounting quality is poor. JEL Classifications: G14, G18, G30, M41