The Long and Short of It: Evidence of Year-End Price Manipulation by Short Sellers

• Main Authors: Blocher, Jesse, Engelberg, Joseph, Reed, Adam V.
• Format: text
• Language: English
• Published: Institutional Knowledge at Singapore Management University 2010
• Subjects: Short sellers; price manipulation; hedge funds; Finance and Financial Management
• Online Access: https://ink.library.smu.edu.sg/bnp_research/16; https://ink.library.smu.edu.sg/cgi/viewcontent.cgi?article=1016&context=bnp_research
• Institution: Singapore Management University

We identify a setting in which there is a predictable incentive for short sellers to manipulate prices, and we find patterns consistent with short sellers manipulating prices. Specifically, we find that stocks with high short interest experience abnormally low returns on the last trading day of the...