Short Seller Attention

Comparative labor law journal : a publication of the U.S. National Branch of the International Society for Labor Law and Social Security [and] the Wharton School, and the Law School of the University of Pennsylvania Pub Date : 2019-08-11 DOI:10.2139/ssrn.2944477

Rui Dai, Lilian Ng, N. Zaiats

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引用次数: 4

Abstract

This study exploits a complex information setting of a network of customer-supplier relationships to test whether short sellers pay attention to corporate news to act upon this news across the supply chain. We measure revealed short seller attention by using the link between a customer's news announcement return and the abnormal short selling of its supplier's stock. Results suggest that short sellers are attentive to news of customers to short their suppliers' stocks and that this short selling behavior strengthens with the intensity of SEC Edgar filing searches for both the customer and the supplier. Short sales of suppliers' stocks upon customer news announcements predict the suppliers' negative future stock returns, suggesting that short sellers' attention in a complicated information setting of customer-supplier links allows exploiting profitable trading opportunities.

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卖空者注意事项

本研究利用客户-供应商关系网络的复杂信息设置来测试卖空者是否关注企业新闻并在整个供应链中采取行动。我们利用客户的新闻公告回报与其供应商股票的异常卖空之间的联系来衡量揭示的卖空者注意力。结果表明，卖空者关注客户做空其供应商股票的消息，并且这种卖空行为随着客户和供应商的SEC Edgar备案搜索的强度而增强。在客户消息发布时卖空供应商股票预测了供应商未来的负股票收益，这表明卖空者在客户-供应商环节的复杂信息环境中的注意力允许利用有利可图的交易机会。

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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Comparative labor law journal : a publication of the U.S. National Branch of the International Society for Labor Law and Social Security [and] the Wharton School, and the Law School of the University of Pennsylvania

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