Дисертації з теми "Short seller"

Diese Dissertation umfasst drei Aufsätze über die Rolle von Informationsintermediären und Intermediäre mit Aufsichtsfunktionen in Kapitalmärkten. Der erste Aufsatz untersucht, ob sich verschiedene Leerverkäufer bei ihrer Auswahl von Zielunternehmen anhand von sichtbaren Merkmalen unterscheiden. Die Ergebnisse zeigen, dass Hedgefonds und Investmentmanager im Durchschnitt größere und jüngere Unternehmen bevorzugen, während sich Banken auf Unternehmen mit weniger Restatements der Finanzdaten und einem höheren Verschuldungsgrad konzentrieren. Der zweite Aufsatz beschreibt, wie Unternehmen auf aktivistische Leerverkäuferberichte reagieren. Es wird festgestellt, dass die Antwortrate erheblich steigt, wenn der Bericht von deutlich negativen abnormalen Renditen begleitet wird und wenn die Leerverkäufer neue Beweise vorlegen. Dies stimmt mit der Vorstellung überein, dass Leerverkäufer als Informationsintermediäre fungieren können. Eine Nichtbeantwortung ist außerdem ist mit einer weniger negativen Aktienkursreaktion bei Veröffentlichung und mit weniger nachteiligen Ergebnissen verbunden. Die dritte Aufsatz fokusiert sich auf so-genannte Monitoring Trustees. Sie sind bei der Überwachung von Banken behilflich, die in der Europäischen Union während der letzten Finanzkrise staatliche Beihilfen erhalten haben. In einer von Hand gesammelten Stichprobe werden die Merkmale und Aufgaben dieser neu implementierten Aufseher und ihre Rolle im Zusammenhang mit dem Berichtsverhalten der Banken untersucht. Die Ergebnisse deuten darauf hin, dass diese zusätzlichen Aufseher die Transparenz und das Berichtsverhalten der Banken bei der Finanzberichterstattung beeinflussen können, insbesondere wenn die Berichterstattung über Kreditverluste und Anpassungen der Geschäftsberichte berücksichtigt werden. Der zweite Aufsatz wurde im Journal of Accounting Research (https://doi.org/10.1111/1475-679X.12356) publiziert.
This dissertation comprises three essays on the role of information and monitoring intermediaries in capital markets. The first essay investigates whether different short sellers vary in their selection of target firms using observable firm characteristics. Results show that hedge funds and investment managers on average prefer larger and younger firms, whereas banks focus on firms with fewer restatements and a higher leverage. The second essay provides descriptive evidence on how firms respond to activist short seller reports and how these responses are associated with outcomes for the targeted firms. It finds that the response rate increases substantially when the report is accompanied by significantly negative abnormal returns and when the short sellers provide new evidence which is consistent with the idea of short sellers acting as information intermediaries. Not responding is associated with a less negative stock price response when the report is released and fewer adverse outcomes. The third essay shifts the attention to Monitoring Trustees who assist in the supervision of banks that have received state aid in the European Union during the last financial crisis. It explores in a hand-collected sample the characteristics and duties of these newly implemented monitors and it studies the role of these supranational monitors and the banks’ reporting behavior. Results suggest that these additional supervisors can influence the banks financial reporting transparency and reporting behavior when mainly loan loss reporting and restatements are accounted for. The second essay has been published in the Journal of Accounting Research (https://doi.org/10.1111/1475-679X.12356).

This dissertation investigates whether short sellers establish short positions prior to accounting restatement announcements and whether the levels of short interest are related to the severity of restatements. Using 565 firms with restatement disclosure during the period of 1995 to 2002 and matched control firms with no restatements announcements, I find that the level of short interest is higher for the sample firms compared to the control firms in the months surrounding the announcements. The level of short interest increases as the restatement announcement date approaches and declines thereafter. Related to severity of restatement, I find that the level of short interest in the pre-disclosure period is higher for restatements involving fraud and the revenue accounts. There exists limited evidence that the pre-disclosure level of short interest is positively associated with the number of quarters restated and the magnitude of the restatements. Finally, I find cumulative abnormal returns surrounding the announcements are more negative for restatement firms that have a higher level of short interest. These results suggest that short sellers are highly sophisticated investors who can see through accounting manipulation and consequently profit from their knowledge.

Thesis (S.M.)--Massachusetts Institute of Technology, Sloan School of Management, 2005.
Includes bibliographical references (leaves 30-31).
This paper examines whether short-sellers (bears) exploit post-earnings-announcement-drift (PEAD) and the accruals anomaly. I first find that short interest is higher during the period that follows a negative earnings surprise and, to a lesser extent, the announcement of earnings that contains an abnormal income-increasing accrual component. Second, holding both anomalies constant, I find that prices decline more quickly in the presence of higher short interest. However, I do not find that higher short interest improves the pricing of information about future earnings contained in current earnings.
y Bing Cao.
S.M.

Syfte: Syftet med den här uppsatsen är att undersöka om blankade bolag har lägre grad av earnings quality än icke-blankade bolag. Metod: Kvantitativ metod, t-test för två populationer som antar olika varianser. Resultat och slutsats: Resultatet i den här studien visar att blankade bolag inte har lägre grad av earnings quality än icke-blankade bolag. Resultatet visar även att icke-blankade bolag har lägre grad av earnings quality än blankade bolag. Därför kan jag inte uttala mig om huruvida blankare använder earnings quality vid tagandet av blankningspositioner
Purpose: The purpose of this essay is to examine if shorted companies have poorer earnings quality than non-shorted companies Method: Quantitative analysis, t-test for two-sample assuming unequal variances Result and conclusion: The results of this study show that shorted companies do not have poorer earnings quality than non-shorted companies. The results also indicate that non-shorted companies have poorer earnings quality than shorted companies. Thus, I cannot comment on whether short sellers are using information about earnings quality when taking short positions

Ce travail doctoral étudie l’effet « retour » de l’information financière liée aux prix des actions sur les décisions des dirigeants d’entreprise. Plus précisément, j'étudie si et comment les gestionnaires apprennent effectivement les nouvelles informations contenues dans les prix des actions pour guider leurs décisions d'entreprise. Ma thèse de doctorat est composée de trois essais, chacun abordant un aspect différent de ce même sujet. Le premier essai étudie le lien entre l'efficacité informationnelle du marché d'actions et le niveau d’efficacité économique réelle de l'entreprise. Dans le premier essai, je constate que lorsque les prix de l'action agrègent une plus quantité d'informations utile plus grande, les décisions des entreprises prises par les gestionnaires devraient être encore plus optimales efficaces. Le deuxième essai étudie si les gestionnaires cherchent à apprendre les informations utilisées par les vendeurs à découvert. L’étude des prix des actions en présence de vendeurs à découvert est-il utile pour les décisions de l'entreprise ? Dans le deuxième essai, j'ai surmonté les difficultés empiriques en exploitant une caractéristique institutionnelle unique sur le marché des actions de Hong Kong. Je constate que les gestionnaires des entreprises « non-shortable » peuvent tirer profit des informations des vendeurs à découvert sur les conditions économiques sectorielles par l'intermédiaire des prix des actions d'autres entreprises « shortable » dans la même industrie et les utilisent dans leurs décisions d'entreprise. Le troisième essai étudie les effets réels de la négociation d'options à long terme. Dans le troisième essai, je constate que l’introduction d’une catégorie spécifique d'options à long terme stimule la production d'informations privées à long terme et donc entraîne une augmentation de l'informativité des prix sur les fondamentaux à long terme des entreprises. Par conséquent, les dirigeants peuvent extraire davantage d'informations du prix de l’action pour guider leurs décisions d'investissement à long terme
In my doctoral thesis, I investigate the information feedback from stock prices to managers’ decisions. More specifically, I study whether and how managers learn new information from stock prices to guide their corporate decisions. My doctoral thesis includes three essays focusing on this topic. The first essay studies the relationship between stock market informational efficiency and real economy efficiency at firm-level. In the first essay, I find that when stock prices reflect greater amount of information that managers care about, corporate decisions made by managers become more efficient. The second essay studies whether managers seek to learn short sellers’ information from stock prices and use it in corporate decisions. In the second essay, I overcome the empirical difficulties by exploiting a unique institutional feature in Hong Kong stock market that only stocks included in an official list are allowed for short sales. I find that that non-shortable firms’ managers can learn short sellers’ information on external conditions from shortable peers’ stock prices and use it in their corporate decisions. The third essay studies the real effects of long-term option trading. I find that long-term option trading stimulates the production of long-term information, which managers can use to guide their long-term investment decisions

碩士
輔仁大學
金融研究所
97
The study is to investigate the empirical operations between the straddle trading portfolio of selling TXO upper and lower one-pan to six-pan built by the TXO deal data and the straddle option portfolio of dynamic selling TXO upper and lower two pan .The period of searching is from January 2002 to December 2008. This study is mainly based on the seller strategy having more favorable than the buying strategy, and the time value of option contracts will be diminished by the time pass and the possibility of the performance will be reduced, so it can earn the option time value. According to the past seven years data of Taiwan index options, it shows that fluctuations of the month no more than 500 points on the expiration date of the most the index futures. Empirical results：although the straddle trading strategy of selling TXO upper and lower one-pan to six-pan is not better than expected but the straddle option portfolio of dynamic selling TXO upper and lower two pan remains to achieve a certain degree of investment performance. It is to be classified and analysed ,and than it is to be distinguished by the opening price : When the sum of the opening price are under 500 points , use the straddle option portfolio of dynamic selling TXO upper and lower two pan to reduce investment risks. When the sum of the opening price are over 500 points, use the straddle trading strategy of selling TXO upper and lower one-pan to six-pan to expand the profit.

碩士
元智大學
財務金融暨會計碩士班(財務金融學程)
104
This research examines the relation between short selling behaviors before the financial crisis and banks’ crisis returns. The results show that stocks that received higher short selling demand and higher borrowing cost tend to perform worse in the financial crisis. By dividing the sample based on the risk-taking behaviors, we find that the predictability is stronger and more significant in the sub-sample with higher leverage levels. Thus, our results suggest that short sellers can foresee up to 24 months before the financial crisis.

碩士
國立高雄第一科技大學
金融研究所
99
Are the short sellers informed? In this study, we examine the short selling from institutional and individual investors by using stocks listing in Taiwan stock market. We find abnormal short selling five days prior to earnings announcement is negatively correlated to the subsequent stock, which indicates that both individual and institutional investors are informed. We also studied the relationship between the standardized unexpected earnings and abnormal short selling, but the results have not a significant relationship. In addition, we also find that the firm size significantly affects the abnormal short selling, and short sellers’ ability of perdition is better in small firms. Our results shows that short seller in Taiwan stock market possess private information. Thus, financial market regulators should consider providing more extensive and timely disclosure of short selling to the market.

碩士
國立交通大學
財務金融研究所
103
This thesis studies short-selling prior to the release analyst reports with downgrades or unfavorable target prices, in order to find out whether short sellers receive information from analysts. Our results support the hypothesis that short sellers are informed traders. Short sellers appear to obtain the downgrading information before released, so they can short sell in advance. However, we find that short sellers do not necessarily benefit from the information advantages. We think the reason is that each unfavorable analyst report contains the different amount of information. Our results show that if short sellers know in advance when analysts publish extreme unfavorable reports, it gives greater incentive to investors to short sell, and short sellers have great opportunities to benefit from the advantages of information.

The aim of this study is to examine the influence of institutions' liquidity on the level of lending supply, short sale constraints and future stock returns, after an increase in shorting demand. By considering the interaction between outward demand shocks and the level of institutions’ liquidity we find that, in times of increasing shorting demand, the level of institutions’ liquidity is not responsible for either restricting the entrance of novel short sellers in the market or hurting existing ones; in addition, we do not find evidence of any decrease in lending supply or future returns, nor increases in loan fees or arbitrage risk.

This study examines whether short-sellers and financial analysts develop complementary information about future earnings and returns and assesses whether investors can improve predictions made by each of these intermediaries using information provided by the other. The first main result is that the relative short interest ratio (shares sold short divided by total shares outstanding) contains information that is useful for predicting future earnings, beyond (i.e., incremental to) the information in analyst forecasts. I also find that analysts do not fully incorporate short interest information into their forecasts and demonstrate that analyst forecasts can be improved (i.e., can be made to be less biased and more accurate) by adjusting for short interest information. The second main result is that analyst forecast revisions contain information that is useful for predicting future abnormal returns, beyond the information in the relative short interest ratio. I demonstrate that portfolios of stocks formed based on consistent signals from short-sellers and analysts produce abnormal return spreads that are significantly larger than spreads produced by portfolios formed using signals from short-sellers alone. Collectively, the evidence suggests that short-sellers and analyst provide complementary information about future firm performance that is useful to investors.

碩士
國立中央大學
財務金融學系
104
Using short-sale transaction data from Taiwan Stock Exchange, this thesis studies short-selling activities around earnings announcements. There are abnormal short-selling activities both before and after the announcement dates, regardless of whether there is a negative surprise or a positive surprise. In addition, this thesis investigates the relationship between the cumulative abnormal return of the sample stocks and the cumulative abnormal short-selling conducted by short-sellers as a whole, and find a negative relation. To investigate if there are any differences between different types of short-sellers around earnings announcements, this thesis goes further to examine the relation between the cumulative abnormal returns and the cumulative abnormal short-selling conducted by different types of short-sellers. The result shows that short-sellers conduct different strategies before and after earnings announcement and act as different roles with positive and negative surprises, and different types of short-sellers act differently