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Why Do Short Sellers Like Qualitative News?

Oleg Chuprinin, Massimo Massa and Bastian von Beschwitz
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Bastian von Beschwitz: https://www.federalreserve.gov/econres/bastian-von-beschwitz.htm

No 1149, International Finance Discussion Papers from Board of Governors of the Federal Reserve System (U.S.)

Abstract: Short sellers trade more on days with qualitative news--i.e. news containing fewer numbers. We show that this behavior is not informationally motivated but can be explained by short sellers exploiting higher liquidity on such days. We document that liquidity and noise trading increase in the presence of qualitative news thus enabling short sellers to better disguise their informed trades. Natural experiments support our findings. For example, qualitative news has a bigger effect on short sellers' trading after a decrease in liquidity following a stock's deletion from S&P 500 and a lower effect when investor attention is distracted by the Olympic Games.

Pages: 58 pages
Date: 2015-11-05
New Economics Papers: this item is included in nep-mst
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Citations: View citations in EconPapers (1)

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http://www.federalreserve.gov/econresdata/ifdp/2015/files/ifdp1149.pdf Full text (application/pdf)
http://dx.doi.org/10.17016/IFDP.2015.1149 DOI (application/pdf)

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Persistent link: https://EconPapers.repec.org/RePEc:fip:fedgif:1149

DOI: 10.17016/IFDP.2015.1149

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