How are Shorts Informed? Short Sellers, News, and Information Processing

Engelberg, Joseph; Reed, Adam V.; Ringgenberg, Matthew C.

doi:10.2139/ssrn.1535337

Cited by 243 publications

(196 citation statements)

References 41 publications

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“…The profits yielded by eMAQT further prove a previous assertion in finance that public information events are subject to differential interpretations by investors. This result presents profitable trading opportunities for skilled investors to generate a profit post the news release day [13]. That is, stock markets are sensitive to public information in an era of social media.…”

Section: Discussionmentioning

confidence: 98%

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The effect of news and public mood on stock movements

Wang

et al. 2014

Information Sciences

213

132

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Section: Discussionmentioning

confidence: 98%

“…The trades of informed investors should therefore be more profitable after a news release day. Otherwise, public information reduces asymmetric information, and the trades of informed investors should be less profitable on a news release day [13].…”

Section: Methodsmentioning

confidence: 99%

The effect of news and public mood on stock movements

Wang

et al. 2014

Information Sciences

213

132

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“…The role of news in short sales was investigated by Engelberg et al (2012), who found that a negative relation between short sales and future returns is order twice larger on news days than on days without a significant flux of news. The relationship is of the order of four times on days with negative news.…”

Section: Downloaded By [University Of Tasmania] At 20:30 30 August 2014mentioning

confidence: 99%

“…search engine and many financial indicators of stocks (Da et al 2011), the role of news in the trading action of short sellers (Engelberg et al 2012), the role of macroeconomic news in the performance of stock returns (Birz and Lott 2011), and the high frequency market reaction to news, (Joulin et al 2008, Gross-Klussmann andHautsch 2011). All these papers are concerned with the relation between news and price movements.…”

Section: Introductionmentioning

confidence: 99%

How news affects the trading behaviour of different categories of investors in a financial market

Lillo

Miccichè

Tumminello

et al. 2014

Quantitative Finance

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We investigate the trading behaviour of a large set of single investors trading the highly liquid Nokia stock over the period 2003–2008 with the aim of determining the relative role of endogenous and exogenous factors that may affect their behaviour. As endogenous factors, we consider returns and volatility, whereas the exogenous factors are the total daily number of news articles and a semantic variable based on a sentiment analysis of the news. Linear regression and partial correlation analysis of the data show that different categories of investors are differently correlated to these factors. Governmental and non-profit organizations are weakly sensitive to news and returns or volatility, and, typically, they are more correlated with the former than with the latter. Households and companies, on the contrary, are very sensitive to both endogenous and exogenous factors, and volatility and returns are, on average, much more relevant than the number of news articles and sentiment, respectively. Financial institutions and foreign organizations are intermediate between these two cases, in terms of both the total explanatory power of these factors and their relative importance. We explicitly consider the role of overnight news and overnight returns on the successive trading activity and trading balance of the different categories of investors. We observe the role of the overnight news, which is weaker than the ones observed between synchronous variables. By performing a vector autoregression (VAR) analysis, we show that the flux of news of the previous day affects the trading activity of companies, households and foreign investors and the dynamics of volatility. VAR is not detecting any role of the lagged sentiment in the successive values of the difference between the number of buying and selling investors for each category of investors

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“…7 7 Engelberg, Reed, and Ringgenberg (2010) show that exempt trades are uninformative, as they represent market‐making activities. During our sample period, these exempt transactions represent roughly 20% of total transactions. …”

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confidence: 99%

Short Selling and Price Discovery: Evidence From American Depositary Receipts

Brockman

Hao

2011

Journal of Financial Research

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The underlying shares of some American Depositary Receipts (ADRs) can be short sold in their home markets, and others cannot. This institutional feature offers a unique opportunity to investigate the relation between short selling and price discovery. We hypothesize and confirm that ADR short selling on a U.S. exchange is more informative when the ADRs’ underlying shares cannot be short sold in the home market. These and related results suggest that short sellers make a significant contribution to price discovery. Short sellers’ trading activity, representing more than 20% of total ADR share volume, increases the benefits of cross‐listing on U.S. exchanges.

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How are Shorts Informed? Short Sellers, News, and Information Processing

Cited by 243 publications

References 41 publications

The effect of news and public mood on stock movements

The effect of news and public mood on stock movements

How news affects the trading behaviour of different categories of investors in a financial market

Short Selling and Price Discovery: Evidence From American Depositary Receipts

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