Journal article
Assessing the information content of short-selling metrics using daily disclosures
C Comerton-Forde, HD Binh, P Gray, T Manton
Journal of Banking & Finance | Elsevier | Published : 2016
Abstract
As a consequence of the 2008 financial crisis, the Australian regulator mandated daily reporting and disclosure of both short flow and short interest at an individual stock level. This provides a unique opportunity to study the nature and source of information embedded in each metric. Our empirical findings are consistent with short sellers being heterogeneous with respect to their information. Short flow is strongly related to recent returns and buy-order imbalance, and both anticipates and reacts to price-relevant announcements. In contrast, short interest is related to the mispricing of firm fundamentals. The distinct differences in the nature of information embedded in the two metrics pr..
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Funding Acknowledgements
We gratefully acknowledge the comments of Ekkehart Boehmer, Peter Brooke, Dominique Gehy, Zsuzsa Husar, Patrick Kelly, Angel Zhong and seminar participants at the University of New South Wales, 2012 AsianFA conference, 2014 Monash/Q-Group colloquium, 2015 FMA conference and 2015 JP Morgan Quantference Sydney. In particular, we thank two anonymous referees whose guidance significantly improved the paper. This research was partially supported by funding from a Platypus Asset Management research grant. We also thank the Securities Industry Research Centre of Asia-Pacific and the Australian Securities Exchange for providing access to the Australian Companies Announcement data and AusEquities data.