Can short selling activity predict the future returns of non-shortable peer firms?

Ting Hu and Yanzhe Chi

Pacific-Basin Finance Journal, 2019, vol. 53, issue C, 165-185

Abstract: •Short selling activity has a “spillover” effect on related peer firms.•Short sellers play an important role in the intra-industry information transfer.•Short selling is negatively related to the future returns of non-shortable stocks.•Short selling is related to future changes in non-shortable firms' fundamentals.

Date: 2019
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Persistent link: https://EconPapers.repec.org/RePEc:eee:pacfin:v:53:y:2019:i:c:p:165-185

DOI: 10.1016/j.pacfin.2018.10.007

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