围绕反向股票拆分的每日卖空

IF 2.1 2区经济学 Q2 BUSINESS, FINANCE

Journal of Financial Markets Pub Date : 2023-09-01 DOI:10.1016/j.finmar.2023.100832

Benjamin M. Blau , Justin S. Cox , Todd G. Griffith , Ryan Voges

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引用次数: 0

摘要

我们使用差异识别策略来研究反向股票分割前后的价格和每日卖空活动。结果显示，在反向拆分前后，治疗类股票相对于对照类股票的回报率为负。此外，在反向拆分公告发布后的几天内，治疗类股票相对于控制类股票的卖空增加，但在此之前没有。此外，反向拆分公告和生效日期的卖空似乎没有比平时包含更多关于未来负回报的信息。总之，研究结果表明，反向股票分割吸引了卖空者的注意力，但他们对这些事件的了解并不比正常情况更多。

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Daily short selling around reverse stock splits

We examine prices and daily short selling activity around reverse stock splits using a difference-in-difference identification strategy. The results show negative returns for treatment stocks, relative to control stocks, around reverse splits. Additionally, short selling increases for treatment stocks vis-à-vis control stocks in the days after the reverse split announcements, but not before. Moreover, short selling on reverse split announcement and effective dates does not appear to contain more information about future negative returns than usual. Together, the results indicate that reverse stock splits attract short sellers’ attention, but that they are no more informed around these events than normal.

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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.