Abstract

http://ssrn.com/abstract=722242
 
 

References (30)



 
 

Citations (30)



 


 



Do Short Sale Transactions Precede Bad News Events?


Holger Daske


University of Mannheim

Scott A. Richardson


London Business School; AQR Capital Management, LLC

A. Irem Tuna


London Business School

May 2005


Abstract:     
Do short sale transactions precede bad news events? Not recently. This paper examines short sale transactions around significant news events. Using a novel and comprehensive dataset covering daily short sale transactions for 4,193 securities on the New York Stock Exchange for the period April 1, 2004 through March 31, 2005, we find no evidence that short sale transactions are concentrated prior to bad news events. This challenges prior research that has found short sale transactions have tended to precede stock price declines. Additional analysis reveals that there is no reliable evidence of daily changes in short sales transactions leading daily stock returns, inconsistent with the notion that short sale transactions (at least in the aggregate) are based on private information.

Number of Pages in PDF File: 45

Keywords: short selling, sophisticated investors, management forecasts, earnings announcements

JEL Classification: G10, G12, M41, M43

working papers series


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Date posted: May 13, 2005  

Suggested Citation

Daske, Holger and Richardson, Scott A. and Tuna, A. Irem, Do Short Sale Transactions Precede Bad News Events? (May 2005). Available at SSRN: http://ssrn.com/abstract=722242 or http://dx.doi.org/10.2139/ssrn.722242

Contact Information

Holger Daske
University of Mannheim ( email )
Schloss Ostflügel
Raum O 250
Mannheim, D-68131
Germany
Scott Anthony Richardson (Contact Author)
London Business School ( email )
Sussex Place
Regent's Park
London, London NW1 4SA
United Kingdom
AQR Capital Management, LLC ( email )
Greenwich, CT
United States
Ayse Irem Tuna
London Business School ( email )
Sussex Place
Regent's Park
London, London NW1 4SA
United Kingdom
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