1993
DOI: 10.2307/2331285
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Short-Sale Restrictions and Market Reaction to Short-Interest Announcements

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Cited by 304 publications
(167 citation statements)
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“…The third possibility is that information on naked short selling does not impact stock prices. This could be the case if, for example, naked short selling is driven by hedging concerns, arbitrage trading, and tax strategies (see Senchack and Starks, 1993). Consistent with the notion that increased naked short is a positive signal to market participants, we report average CARs of 1.3-1.9% over the 5 trading days following the announcement that a security has reached threshold levels of FTDs (i.e., a threshold event).…”
Section: Introductionsupporting
confidence: 76%
“…The third possibility is that information on naked short selling does not impact stock prices. This could be the case if, for example, naked short selling is driven by hedging concerns, arbitrage trading, and tax strategies (see Senchack and Starks, 1993). Consistent with the notion that increased naked short is a positive signal to market participants, we report average CARs of 1.3-1.9% over the 5 trading days following the announcement that a security has reached threshold levels of FTDs (i.e., a threshold event).…”
Section: Introductionsupporting
confidence: 76%
“…A large stream of literature discusses whether and how short sellers are informed. Several empirical studies show that the amount of short selling predicts negative future stock returns (e.g., Senchack and Starks, 1993;Aitken, Frino, McCorry, and Swan, 1998;Boehmer, Jones, and Zhang, 2008;Diether, Lee, and Werner, 2009), which would suggest that short sellers are informed. Yet this predictability is not always consistent.…”
Section: Introductionmentioning
confidence: 99%
“…12 The factors we consider are the market excess return (MKTRF), small-minus-big (SMB), high-minus-low (HML), winner-minus-loser (WML), betting-against-beta (BAB), and quality-minus-junk (QMJ) (see Fama and French, 1992, 1993, 1996Jegadeesh and Titman, 1993;Carhart, 1997;Frazzini and Pedersen, 2014;Asness, Frazzini, and Pedersen, 2014). With the exception of the size factor, SMB, these factors all have been shown to be priced in Europe.…”
mentioning
confidence: 99%
“…The empirical studies showed that the increases in short interest or short volume lead to the declines in stock returns (Diether et al, 2009a;Dehow et al, 2001;Asquith and 3) A large body of literature examines the effect of shorting on the shorted stock, except one paper (Hwang et al, 2017). Meulbroek, 1996;Conrad, 1994;Figlewski and Webb, 1993;Senchack and Starks, 1993). Academics also have studied the effect of the short-selling constraints on the asset prices.…”
Section: The Literature Reviewmentioning
confidence: 99%