Seminar (Dept. of Finance)

Theme：When Do Informed Short Sellers Trade? Evidence from Intraday Data and Implications for Informed Trading Models

Speaker：Xiaoyan Zhang, Xinyuan Chair Professor of Finance, PBC School of Finance, Tsinghua University

Time：2021-11-05 10:00

Address：Zoom Meeting

Language：Chinese/English

Venue：Zoom Meeting

https://zoom.us/j/81660687387?pwd=QTBxR0c4aXhDdWZaTUg2cnlLWWpYQT09 

Meeting ID：816 6068 7387

password：1105

ABSTRACT:

Using intraday 2015-2019 short sale data, we examine the time patterns and information content of intraday shorting.  Midday short sales and those near the open strongly and negatively predict the cross-section of stock returns at daily horizons and up to 12 weeks ahead.  Short sales near the close are only informative at next-day horizons. We also connect earnings/analyst news to shorting flows. Shorting near the open reacts strongly to and anticipates bad-news releases. Shorting near the close only anticipates post-close firm news. Our evidence supports both Kyle (1985) and Holden and Subrahmanyam (1992).