Short Selling Around News in International Stock Markets
研究了38个国家中卖空者在公共新闻发布前后的交易行为，发现负面新闻后的卖空预测力更强，但仅存在于公共信息质量高、每只股票新闻多、流动性差的国家；卖空者的信息优势主要来自获取私有信息的能力。
Abstract This paper examines global sources of short sellers’ informational advantage by analyzing their trading around public news releases in 38 countries. I find that shorts on negative news have stronger predictive power than nonnews shorts, but only in countries with high-quality public information, more news per stock, and higher illiquidity. These results indicate that some country-level factors discourage short sellers from trading on public information. Short sellers’ informational advantage in most countries seems to arise from their access to private information, as evidenced by their ability to anticipate future negative news and their trading in unison with insiders.