Short-Selling and Information Arrival around Earnings Announcements: Evidence from Regulation SHO
利用美国SHO规则放松卖空约束的自然实验，发现卖空者主要在盈余公告前交易以提前反映负面信息，而非公告后反应，这对理解卖空的信息角色有重要意义。
ABSTRACT Short sellers assist in impounding negative news more quickly into stock prices and improve price informativeness. However, there is a lack of consistent evidence about whether short sellers trade predominantly in anticipation of, or in response to, a public information release. To shed light on this question, we exploit Reg SHO, which reduced the constraints faced by short sellers for a subsample of U.S. firms, to examine price informativeness before, during, and after earnings announcements. We show that relative to control firms, pilot firms have greater (less) price informativeness before (during) earnings announcements, suggesting that short sellers trade in anticipation of public earnings news, rather than in response to the public news. Data Availability: Data are available from the public sources cited in the text. JEL Classifications: M40; M41; M48.