Do Short Sellers Trade on Private Information or False Information?
研究了卖空者是基于私有信息还是虚假信息进行交易，发现卖空活动在股票存在内幕交易时能预测未来收益，且提供了内幕交易未完全反映的额外信息，总体上促进了市场价格的信息效率。
We investigate whether short sellers contribute toward the informational efficiency of market prices by trading on their private information or destabilize market prices by trading on rumors and false information. We find that short-selling activities are considerably informative about future stock returns when there is a higher likelihood of private information in stocks, as measured by insider-trading activities. Short sellers also bring considerable additional information to the market that is not fully captured by contemporaneous insider trading. Overall, these results suggest that on average, short sellers bring informational efficiency to market prices rather than destabilize them.