Which shorts are informed?

Journal of Finance

Volumn 63, Issue 2, 2008, Pages 491-527

  Boehmer, Ekkehart ^a   Jones, Charles M ^b   Zhang, Xiaoyan ^c  

^a TEXAS A AND M UNIVERSITY   (United States)

^b Och Spine at New York Presbyterian Hospitals

^c The Samuel Curtis Johnson Graduate School of Management

Author keywords

[No Author keywords available]

Indexed keywords

EID: 41649112951     PISSN: 00221082     EISSN: 15406261     Source Type: Journal    
DOI: 10.1111/j.1540-6261.2008.01324.x     Document Type: Article

References (42)

1. Aitken, Michael J., Alex Frino, Michael S. McCorry, and Peter L. Swan, 1998, Short sales are almost instantaneously bad news: Evidence from the Australian Stock Exchange, Journal of Finance 53, 2205 2223.
2. Ang, Andrew, Robert Hodrick, Yuhang Xing, and Xiaoyan Zhang, 2006, The cross-section of volatility and expected returns, Journal of Finance 61, 259 299.
3. Asquith, Paul, and Lisa Meulbroek, 1996, An empirical investigation of short interest, Working paper, Harvard University.
4. Asquith, Paul, Parag Pathak, and Jay R. Ritter, 2005, Short interest, institutional ownership, and stock returns, Journal of Financial Economics 78, 243 276.
5. Barclay, Michael J., and Jerold B. Warner, 1993, Stealth trading and volatility: Which trades move prices? Journal of Financial Economics 34, 281 305.
6. Boehmer, Ekkehart, and Eric Kelley, 2007, Institutional investors and the informational efficiency of prices, Working paper, Texas A&M University.
7. Brennan, Michael J., Tarun Chordia, and Avanidhar Subrahmanyam, 1998, Alternative factor specifications, security characteristics, and the cross-section of expected stock returns, Journal of Financial Economics 49, 345 373.
8. Brent, Averil, Dale Morse, and E. Kay Stice, 1990, Short interest - Explanations and tests, Journal of Financial and Quantitative Analysis 25, 273 289.
9. Chakravarty, Sugato, 2001, Stealth-trading: Which traders' trades move stock prices? Journal of Financial Economics 61, 289 307.
10. Chordia, Tarun, and Avanidhar Subrahmanyam, 2004, Order imbalance and individual stock returns: Theory and evidence, Journal of Financial Economics 72, 485 518.
11. Christophe, Stephen E., Michael G. Ferri, and James J. Angel, 2004, Short-selling prior to earnings announcements, Journal of Finance 59, 1845 1876.
12. Cohen, Lauren, Karl Diether, and Christopher Malloy, 2007, Supply and demand shifts in the shorting market, Journal of Finance 62, 2061 2096.
13. D'Avolio, Gene, 2002, The market for borrowing stock, Journal of Financial Economics 66, 271 306.
14. Danielsen, Bartley, and Sorin Sorescu, 2001, Why do option introductions depress stock prices? An empirical study of diminishing short sale constraints, Journal of Financial and Quantitative Analysis 36, 451 484.
15. Daske, Holger, Scott A. Richardson, and A. Irem Tuna, 2005, Do short sale transactions precede bad news events? Working paper, University of Pennsylvania.
16. Dechow, Patricia, Amy Hutton, Lisa Meulbroek, and Richard G. Sloan, 2001, Short-sellers, fundamental analysis, and stock returns, Journal of Financial Economics 61, 77 106.
17. Desai, Hemang, Srinivasan Krishnamurthy, and Kumar Venkataraman, 2006, Do short sellers target firms with poor earnings quality? Evidence from earnings restatements, Review of Accounting Studies 11, 71 90.
18. Desai, Hemang, K. Ramesh, S. Ramu Thiagarajan, and Bala V. Balachandran, 2002, An investigation of the informational role of short interest in the Nasdaq market, Journal of Finance 57, 2263 2287.
19. Diamond, Douglas W., and Robert E. Verrechia, 1987, Constraints on short-selling and asset price adjustment to private information, Journal of Financial Economics 18, 277 311.
20. Diether, Karl, Kuan-Hui Lee, and Ingrid Werner, 2007, Short-sale strategies and return predictability, Review of Financial Studies (forthcoming).
21. Duffie, Darrell, Nicolae Bogdan Garleanu, and Lasse Heje Pedersen, 2002, Securities lending, shorting, and pricing, Journal of Financial Economics 66, 307 339.
22. Fama, Eugene F., and Kenneth R. French, 1993, Common risk factors in the returns on stocks and bonds, Journal of Financial Economics 33, 3 56.
23. Fama, Eugene F., and James MacBeth, 1973, Risk, return and equilibrium: Empirical tests, Journal of Political Economy 71, 607 636.
24. Francis, Jennifer, Mohan Venkatachalam, and Yun Zhang, 2005, Do short sellers convey information about changes in fundamentals or risk? Working paper, Duke University.
25. Geczy, Christopher C., David K. Musto, and Adam V. Reed, 2002, Stocks are special too: An analysis of the equity lending market, Journal of Financial Economics 66, 241 269.
26. Harrison, J. Michael, and David M. Kreps, 1978, Speculative investor behavior in a stock market with heterogeneous expectations, Quarterly Journal of Economics 92, 323 336.
27. Hong, Harrison, Jose Scheinkman, and Wei Xiong, 2006, Asset float and speculative bubbles, Journal of Finance 61, 1073 1117.
28. Jegadeesh, Narasimhan, and Sheridan Titman, 1993, Returns to buying winners and selling losers: Implications for stock market efficiency, Journal of Finance 48, 65 91.
29. Jones, Charles M., 2004, Shorting restrictions, liquidity, and returns, Working paper, Columbia University.
30. Jones, Charles M., Gautam Kaul, and Marc Lipson, 1994, Transactions, volume and volatility, Review of Financial Studies 7, 631 651.
31. Jones, Charles M., and Owen A. Lamont, 2002, Short sale constraints and stock returns, Journal of Financial Economics 66, 207 239.
32. Jones, Charles M., and Marc L. Lipson, 2004, Are retail orders different? Working paper, Columbia University.
33. Kaniel, Ron, Gideon Saar, and Sheridan Titman, 2007, Individual investor trading and stock returns, Journal of Finance 63, 273 310.
34. Lamont, Owen A., and Jeremy C. Stein, 2004, Aggregate short interest and market valuations, American Economic Review 94, 29 32.
35. Lamont, Owen A., and Richard H. Thaler, 2003, Can the market add and subtract? Mispricing in tech stock carve-outs, Journal of Political Economy 111, 227 268.
36. Lee, Charles M. C., and Mark J. Ready, 1991, Inferring trade direction from intraday data, Journal of Finance 46, 733 746.
37. Lee, Charles M. C., and Bhaskaran Swaminathan, 2000, Price momentum and trading volume, Journal of Finance 55, 2017 2069.
38. Loughran, Tim, and Jay Ritter, 2004, Why has IPO underpricing increased over time? Financial Management 33, 5 37.
39. Miller, Edward M., 1977, Risk, uncertainty, and divergence of opinion, Journal of Finance 32, 1151 1168.
40. Ofek, Eli, and Matthew Richardson, 2003, DotCom mania: A survey of market efficiency in the internet sector, Journal of Finance 58, 1113 1138.
41. Ofek, Eli, Matthew Richardson, and Robert F. Whitelaw, 2004, Limited arbitrage and short sales restrictions: Evidence from the options markets, Journal of Financial Economics 74, 305 342.
42. Pan, Jun, and Allen M. Poteshman, 2006, The information in option volume for future stock prices, Review of Financial Studies 19, 871 908.