战略交易作为对卖空者的回应

IF 2.1 2区经济学 Q2 BUSINESS, FINANCE

Journal of Financial Markets Pub Date : 2024-04-22 DOI:10.1016/j.finmar.2024.100911

Marco Di Maggio , Francesco Franzoni , Massimo Massa , Roberto Tubaldi

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引用次数: 0

摘要

我们研究了其他知情投资者对卖空的策略性反应是否会减缓正面信息的吸收。我们发现，受卖空影响较大的股票在盈利公布前的正面信息冲击会大幅减少。与策略行为一致，我们发现当卖空者也在场时，持有正面观点的投资者会放缓交易。此外，他们会将买入交易分散到多个经纪人手中，这表明他们希望防止价格受到冲击。因此，对卖空的策略性反应似乎对公开信息发布前的信息封锁有影响。

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Strategic trading as a response to short sellers

We examine whether the strategic response to short selling by other informed investors decelerates the incorporation of positive information. We find a sizeable reduction of positive information impounding before earnings announcements for stocks more exposed to short selling. Consistent with strategic behavior, we find that investors with positive views slow down their trades when short sellers are also present. Furthermore, they break up their buy trades across multiple brokers, suggesting they wish to prevent a price impact. Thus, the strategic reaction to short selling appears to have implications for information impounding before public information releases.

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来源期刊

Journal of Financial Markets BUSINESS, FINANCE-

CiteScore

3.40

自引率

3.60%

发文量

期刊介绍： The Journal of Financial Markets publishes high quality original research on applied and theoretical issues related to securities trading and pricing. Area of coverage includes the analysis and design of trading mechanisms, optimal order placement strategies, the role of information in securities markets, financial intermediation as it relates to securities investments - for example, the structure of brokerage and mutual fund industries, and analyses of short and long run horizon price behaviour. The journal strives to maintain a balance between theoretical and empirical work, and aims to provide prompt and constructive reviews to paper submitters.