 Earnings shocks, price responses, and short selling behaviorSiu Kai Choy and Hua Zhang International Review of Financial Analysis, 2021, vol. 78, issue C Abstract: Existing researches usually study short sellers' behavior along a single dimension such as earnings news without considering the implications of multiple signals. In this paper, we investigate short selling behavior at earnings announcement period by using the shorting data from the Regulation SHO pilot program for the period January 2005 to July 2007. First, we document that, in about one third of our sample, earnings surprises and corresponding market price changes have opposite signs. By investigating how short sellers trade when earnings shocks and market price responses are of opposite signs, we find that there are more short selling activities when the market responds positively to negative earnings surprises; and that there are fewer short selling activities when the market responds negatively to positive earnings surprises. Overall, the shorting intensity at announcement period depends on both the earnings shock and price response signals. Keywords: Short selling behavior; Earnings surprise; Price response (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:eee:finana:v:78:y:2021:i:c:s105752192100260x DOI: 10.1016/j.irfa.2021.101939 Access Statistics for this article International Review of Financial Analysis is currently edited by B.M. Lucey More articles in International Review of Financial Analysis from Elsevier |
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