Добірка наукової літератури з теми "Informed short selling"

PurposePrior research posits that traders with short-lived information favor lit exchanges over dark pools due to execution certainty. This paper aims to focus on the relation between informed trading based on firm fundamentals and dark pool volume because the preferred venue for traders with longer-lived information is less certain.Design/methodology/approachThe authors examine the effect of short interest, a proxy for informed traders with long-lived information, on dark pool volume using fixed effects, first difference and instrumental variable approaches. They examine the effect of dark pools on the profitability of long-lived information using market- and characteristic-adjusted returns.FindingsThe proportion of trading volume executed in dark pools is positively correlated with short interest. This result is stronger for stocks that suffer from greater uncertainty and stocks targeted by transient institutional investors. Short sellers profit substantially from their information as subsequent returns are lower for heavily shorted stocks with greater dark pool volume.Research limitations/implicationsIn 2014, the Financial Industry Regulatory Authority began making trading data available for dark pools. Before that, only limited information was publicly available. The authors use that data to shed more light on dark pools activity.Practical implicationsThe evidence presented in the paper helps inform the current discussion about the role and regulation of dark pools.Originality/valueThis is the first study to show that informed traders with long-lived information favor dark pools due to their opacity and the possibility of price improvement.

Abstract This paper extends the literature on predatory short selling and bailouts through a joint analysis of the two. We consider a model with informed short sales, as well as uninformed predatory short sales, which can trigger the inefficient liquidation of a firm. We obtain several novel results: A government commitment to bail out insolvent firms with positive probability can increase welfare because it selectively deters predatory short selling without hampering desirable informed short sales. Contrasting a common view, bailouts can be optimal ex ante but undesirable ex post. Furthermore, bailouts in our model are a better policy tool than short selling restrictions. Welfare gains from the bailout policy are unevenly distributed: shareholders gain while taxpayers lose. Bailout taxes allow ex ante Pareto improvements.

This paper aims to investigate short selling and stock price crash risk. The authors find that short selling is positively associated with one-month-ahead stock price crash risk, consistent with the literature showing that short sellers are informed traders. The authors attribute this prediction ability to the information short sellers receive from foreign investors with high levels of ownership in a firm. The results shed light on policy issues regarding short selling regulation.

Short selling, and its informational role in the formation of stock prices have been the epicenter of prior literature. Is there a relationship between short selling and abnormal returns? While numerous studies found a negative relationship, researchers do not unanimously agree on the existence, nor the strength, of this relationship. Using net short positions extracted from the registry of the FI for stocks listed in the OMX Stockholm 30 Exchange from January 2017 to December 2020, we examine this relationship exclusively in Sweden. The results have been scrutinized via regression analysis to verify if there is any significant relationship between the announcements of total net short positions and the non-adjusted, as well as the risk-adjusted abnormal returns. We did not find enough evidence to validate previous studies that supported the notion that heavily shorted stocks generate negative abnormal returns for the long buyers. There was a perceptible increase in both risk-adjusted and non-adjusted abnormal returns within a three-day window after the announcement of a short position. Yet, the value was merely zero, inferring that a higher level of short interest does not lead to negative stock returns.

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The aim of this study is to test whether, in the Brazilian market, family firms are more susceptible to insider trading. Tests done in US market demonstrated the effect of family control in informational content of short sales in publicly-traded companies. There, had found higher than normal levels of short sales in family controlled companies, mainly in times that anticipated negative earnings announcements. We did not find clear evidence that the fact that the company has family control could take it to submit or not insider trading, since for limitation of the model is not possible to compare the abnormal level of short sales for family-controlled companies and others, since this variable it is removed from the model. However, we observed in the fixed panel models with interactions that there are differences in the effect of some control variables for family-controlled companies or not on other variables of control, which could show that some influence the parental control could have on insider trading. We also tested whether state-controlled companies show more abnormal average daily short sales in moments that precede earnings surprises, and we did not find clear and direct evidence that this happened.
O objetivo desse trabalho é testar se no mercado brasileiro, empresas familiares são mais suscetíveis a insider trading.Testes feitos no mercado americano evidenciaram efeito do controle familiar no conteúdo informacional embutido em montagem de posições vendidas de companhias abertas. Lá, foram encontrados níveis acima do normal de posições short em companhias de controle familiar principalmente em momentos que antecipavam resultados negativos que iriam ser publicados. Não encontramos evidências claras de que o fato da companhia ter controle familiar poderia levá-la a apresentar ou não insider trading, já que por limitação do modelo não é possível comparar o nível de anormal short para empresas de controle familiar e outras pois essa variável é excluída do modelo. Entretanto, observamos nos modelos em painel fixo com interações que existe diferença do efeito de algumas variáveis de controle para empresas de controle familiar ou não sobre outras variáveis de controle o que poderia mostrar que alguma influência o controle familiar poderia ter sobre o insider trading. Testamos também se empresas de controle estatal apresentavam maior volume médio diário anormal de posições vendidas em momentos que antecediam surpresas de resultado, e também não encontramos evidências claras e diretas que isso acontecia.

碩士
國立中正大學
財務金融研究所
101
Using component stocks of the Taiwan 50 Index and Taiwan Mid-Cap 100 Index from 2008 to 2012, we investigates the informational role of short selling between individual short sellers and institutional short sellers in the Taiwan stock market. We find that individual investors account for nearly 70% of short selling activities. Moreover, we find that individuals are shorting heavily with past higher return and institutions are shorting lightly with contemporary higher return. Consistent with previous finding based on US stock market, our results show that institutions are better informed trader on short selling. Stocks heavily shorted by institutions are associated with strong negative future returns.

This chapter turns to the most pressing and consequential of numbers—fiscal ones. It shows how the financial conditions that disciplined the Ravenwood community shape the way the college operates and drive the ways that they resolve problems. Ravenwood's approach to recruitment, branding, and converting applicants into students was deeply informed by its available resources and the economic conditions of its students. A sudden and large endowment can lead to facilities that are marked with eliteness, celebrity faculty and scholars who are known in the right circles, and strategic management of metrics that will lead to movement in rankings. In short, for institutions and individuals alike, choice is constrained by cost. Ravenwood's lack of financial resources took away more options.