Abstract

http://ssrn.com/abstract=2081657
 
 

Citations (2)



 


 



Are Short Sellers Informed? Evidence from the Bond Market


Ambrus Kecskes


York University - Schulich School of Business

Sattar Mansi


Virginia Polytechnic Institute & State University

Andrew (Jianzhong) Zhang


University of Nevada, Las Vegas - Department of Finance

June 11, 2012

Accounting Review, Forthcoming

Abstract:     
We examine whether short sellers in the equity market provide valuable information to investors in the bond market. Using a sample of publicly traded bond data covering the period from 1988 to 2011, we find that firms with high short interest have lower credit ratings and are more likely to have their ratings downgraded. We also find that firms with highly shorted stocks are associated with higher bond yield spreads (about 24 basis points). Evidence of causality from short interest spikes and a natural experiment based on the SEC’s Regulation SHO pilot program confirms our findings. Overall, our results suggest that equity short sellers provide predictive information to creditors in the bond market.

Number of Pages in PDF File: 48

Keywords: short interest, credit ratings, bond yield spreads, financial reporting

JEL Classification: G12, G14

Accepted Paper Series





Download This Paper

Date posted: June 11, 2012 ; Last revised: September 27, 2012

Suggested Citation

Kecskes, Ambrus and Mansi, Sattar and Zhang, Andrew (Jianzhong), Are Short Sellers Informed? Evidence from the Bond Market (June 11, 2012). Accounting Review, Forthcoming. Available at SSRN: http://ssrn.com/abstract=2081657 or http://dx.doi.org/10.2139/ssrn.2081657

Contact Information

Ambrus Kecskes
York University - Schulich School of Business ( email )
4700 Keele Street
Toronto, Ontario M3J 1P3
Canada
Sattar Mansi (Contact Author)
Virginia Polytechnic Institute & State University ( email )
Andrew (Jianzhong) Zhang
University of Nevada, Las Vegas - Department of Finance ( email )
4505 S. Maryland Parkway
Box 456008
Las Vegas, NV 89154-6008
United States
Feedback to SSRN


Paper statistics
Abstract Views: 855
Downloads: 272
Download Rank: 65,021
Citations:  2
People who downloaded this paper also downloaded:
1. Short Sellers' Trading on Anomalies
By Byoung-hyoun Hwang and Baixiao Liu

© 2014 Social Science Electronic Publishing, Inc. All Rights Reserved.  FAQ   Terms of Use   Privacy Policy   Copyright   Contact Us
This page was processed by apollo5 in 0.359 seconds