Do Short Sellers Front-Run Insider Sales?
47 Pages Posted: 5 Jun 2008 Last revised: 3 Mar 2013
There are 2 versions of this paper
Do Short Sellers Front-Run Insider Sales?
Do Short Sellers Front-Run Insider Sales?
Date Written: January 28, 2011
Abstract
We study the behavior of short sellers as informed market participants and examine potential sources of their information. Using a newly available dataset with high-frequency short sales data, we find evidence of significant increases in short sales immediately prior to large insider sales, but not prior to small insider sales. We examine a number of explanations that the increase in short sales is driven by public information, either about the firm or about the impending insider sale. The evidence is inconsistent with these explanations, but is consistent with front-running facilitated by leaked information.
Keywords: Short Selling, Insider Sales, Front Running, Information Leakage
JEL Classification: G10, G14, G18, G30, M41
Suggested Citation: Suggested Citation
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