Aggressive Short Selling and Price Reversals

Andriy Shkilko, Bonnie F. Van Ness, R. Van Ness
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引用次数: 23

Abstract

We show that short selling may, occasionally, cause excessive price pressure. We study large negative price reversals that occur on no-news days and find that short selling during such reversals is abnormally aggressive and substantially increases the magnitude of price declines. This negative effect on prices extends beyond a mere selling pressure from aggressive sell orders. Consistent with extant theories of predatory trading, price reversals are also accompanied by aggressive non-short selling. Large price reversals are more likely to occur in the stocks for which short selling restrictions are lifted; however, even when restrictions apply, traders often successfully circumvent them.
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激进的卖空和价格反转
我们表明,卖空偶尔会造成过大的价格压力。我们研究了发生在无新闻日的大幅负面价格逆转,发现在这种逆转期间卖空异常激进,并大大增加了价格下跌的幅度。这种对价格的负面影响不仅仅是来自激进卖单的抛售压力。与现有的掠夺性交易理论一致,价格逆转也伴随着激进的非卖空。卖空限制解除的股票更有可能出现大幅价格逆转;然而,即使有限制,交易者通常也能成功地规避它们。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
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