Affiliation:
1. University of Minnesota
2. University of Toronto
Abstract
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. The front-running appears to be concentrated in firms with poor accounting quality, suggesting that information about a large insider sale reinforces short sellers' adverse opinion about firm value when accounting quality is poor.
JEL Classifications: G14, G18, G30, M41
Publisher
American Accounting Association
Subject
Economics and Econometrics,Finance,Accounting
Reference56 articles.
1. Information asymmetry, R&D and insider gains;Aboody;Journal of Finance,2000
2. Short sales are almost instantaneously bad news: Evidence from the Australian stock exchange;Aitken;Journal of Finance,1998
3. SEC is looking at stock trading;Anderson;The New York Times,2007
4. Short interest, institutional ownership and stock returns;Asquith;Journal of Financial Economics,2005
5. The relation among capital markets, financial disclosure, production efficiency, and insider trading;Baiman;Journal of Accounting Research,1996
Cited by
96 articles.
订阅此论文施引文献
订阅此论文施引文献,注册后可以免费订阅5篇论文的施引文献,订阅后可以查看论文全部施引文献