The good news in short interest

Boehmer, Ekkehart; Huszár, Zsuzsa R.; Jordan, Bradford D.

doi:10.1016/j.jfineco.2009.12.002

Cited by 230 publications

(98 citation statements)

References 26 publications

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“…On October 2, at the end of the initial 10-day effective period, the SEC extended the ban to the earlier of October 17 or three business days following the $700 billion financial rescue legislation was passed into law. On October 3, immediately after the rescue plan 7 Boehmer, Jones, and Zhang (2008), Boehmer, Jordan, and Huszar (2010), Diether, Lee, and Werner (2009), etc. passed the Congress, the SEC announced that the ban would expire at 11:59pm ET October 8. The ban lasts 14 trading days from September 19 to October 8.…”

Section: Short Sale Banmentioning

confidence: 99%

Trading Puts and CDS on Stocks with Short Sale Ban

Pan

2011

SSRN Journal

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We focus on the short sale ban of 2008 to examine the interaction between the price discovery in banned stocks and the trading of options and CDS. Within the sample of banned stocks with exchange traded options, stocks whose put-call ratios are in the top quintile underperform the middle group by 2.13% and 4.01% over the next three-and five-day returns, respectively. By contrast, the bottom quintile does not perform differently from the middle group. Within the sample of banned stocks with CDS traded and using their one-day percentage change in CDS spreads as a signal, we find cross-sectional predictability of CDS signal for future stock returns. Again, the predictability is asymmetric, driven mostly by stocks with more positive percentage change in CDS spreads, and therefore more negative information according to the CDS market. Overall, our results confirm that in the presence of short sale ban, it takes time for the negative information contained in either the options market or the CDS market to get incorporated into stock prices.

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Section: Short Sale Banmentioning

confidence: 99%

Trading Puts and CDS on Stocks with Short Sale Ban

Pan

2011

SSRN Journal

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“…In combination, the results in Tables 3 through 6 offer a potential explanation to Boehmer et al (2010)'s finding that steady and reliable negative (positive) abnormal returns only exist in extremely high (low) total short interest levels.…”

mentioning

confidence: 77%

“…Inferences remain the same. (Boehmer et al 2010) and high total short interest levels combined with analysts' buy recommendations predict lower returns in the future (Drake et al 2011). Table 5, column (3) examines whether naked short interest is associated with future abnormal returns after controlling for covered short interest.…”

Section: Predictive Power On Future Returnsmentioning

confidence: 99%

“…For example, Boehmer et al (2010) develop a strategy in which a potential investor buys (sells short) companies with extremely low (high) levels of total short interest (Boehmer et al 2010). …”

Section: Abnormal Future Returns Based On Sorted Short Interestsmentioning

confidence: 99%

“…One profitable strategy is to buy (short sell) companies with low (high) levels of total short interest. Boehmer et al (2010) shows that significant returns can be earned trading companies falling in the top and bottom one (five) percent. I propose an alternative trading strategy that uses the distinction between covered and naked short selling.…”

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confidence: 99%

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Naked Short Selling: Is it Information-Based Trading?

2013

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Chair of Advisory Committee: Dr. Edward P. Swanson Naked short selling occurs when a short seller fails to deliver shares on the settlement day. The business press and many corporate managers characterize it as abusive price manipulation, alleging that selling nonexistent shares causes a price decline regardless of fundamentals. To curtail the practice, the SEC issued regulations, first to restrain and later to prohibit all naked short selling (i.e., Reg. SHO in 2004 and its amendment in 2009). Contrary to allegations, I find that the naked short selling component of total short interest is significantly associated with accounting and market fundamentals, indicating proper information usage. Further, naked short interest is highly significant in predicting one-quarter ahead abnormal stock returns, and it dominates covered short interest when both measures are included. I also calculate returns from a zero-investment trading strategy that buys (sells) shares with low (high) levels of both covered and naked short interest. I find abnormal returns are approximately 3.9 times larger than when using only covered short interest. Empirical iv evidence therefore indicates that recent actions by regulators to eliminate naked short selling are likely to impede arbitrage and thereby reduce market efficiency. v ACKNOWLEDGEMENTS

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Grabbing hand or helping hand? Ownership interventions and acquirers returns; the role of provincial idiosyncrasies

et al. 2020

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Firm's performance is not only influenced by sound decisions but also by institutional processes. This study argues that the effect of government intervention on acquisition returns is partly dependent on institutional factors such as provincial marketization and the legal environment. This study employs ownership and merger and acquisition regulations issued by the Chinese government 2003–2018 to measure government intervention and also employs both the OLS and the random effects technique. The result shows a positive relationship between ownership intervention and acquisition returns. Next, the study finds that variances in regional marketization and the legal environment strengthen this relationship such that acquirers in high marketization regions and acquirers in a robust legal environment earn higher returns than acquirers in a low marketization region and acquirers in a weaker legal environment. The results imply that acquisition returns are not even across all locations in a transitional economy. Ongoing policies should aim at bridging the variances in different locations as it impacts acquirers' returns.

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The good news in short interest

Cited by 230 publications

References 26 publications

Trading Puts and CDS on Stocks with Short Sale Ban

Trading Puts and CDS on Stocks with Short Sale Ban

Naked Short Selling: Is it Information-Based Trading?

Grabbing hand or helping hand? Ownership interventions and acquirers returns; the role of provincial idiosyncrasies

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