In Search of Shares: Benchmarked Ownership, Short Covering, and Price Efficiency
研究了基准化持股如何限制空头在正面盈利消息后快速回补仓位，加剧价格超调，对理解机构投资者行为和市场效率有参考价值。
We examine whether ownership by benchmarked investors constrains short sellers’ ability to quickly cover their positions following positive earnings news and thereby exacerbates price pressure from short covering. We find that high benchmarked ownership is related to greater price overshooting in highly shorted stocks at positive earnings announcements. This effect is driven by benchmarked ownership amplifying both price and volume impacts of short covering. Exploring shocks from Russell index reconstitutions and examining other settings such as management guidance and analyst recommendation revisions yield similar inferences. Overall, our findings highlight a novel mechanism that benchmarked ownership can constrain short-selling activities. This paper was accepted by Eric So, accounting. Funding: The authors acknowledge financial assistance from their respective schools. Supplemental Material: The online appendix and data files are available at https://doi.org/10.1287/mnsc.2024.07231 .