| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP13812 |
| DP13812 Strategic Trading as a Response to Short Sellers | |
| Francesco Franzoni; Marco Di Maggio; Massimo Massa; Roberto Tubaldi | |
| 发表日期 | 2019-06-19 |
| 出版年 | 2019 |
| 语种 | 英语 |
| 摘要 | We study empirically informed traders’ reaction to the presence of short sellers in the market. We find that investors with positive views on a stock strategically slow down their trades when short sellers are present in the same stock. Moreover, they purchase larger amounts to take advantage of the price decline induced by short sellers. Furthermore, they break up their buy trades across multiple brokers, suggesting that they wish to hide from the short sellers. This behavior may impact price discovery, as we find a sizeable reduction of positive information impounding for stocks more exposed to short selling during information sensitive periods. The evidence is confirmed exploiting exogenous variation in short interest provided by the Reg SHO Pilot Program. The findings have relevance for the regulatory debate on the market impact of short selling. |
| 主题 | Financial Economics |
| 关键词 | Short selling Informed trading Strategic traders Institutional investors Market efficiency |
| URL | https://cepr.org/publications/dp13812 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/542686 |
| 推荐引用方式 GB/T 7714 | Francesco Franzoni,Marco Di Maggio,Massimo Massa,et al. DP13812 Strategic Trading as a Response to Short Sellers. 2019. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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