Short selling and the price discovery process

• Main Authors: BOEHMER, Ekkehart, WU, Juan Julie
• 格式: text
• 語言: English
• 出版: Institutional Knowledge at Singapore Management University 2013
• 主題: Informational efficiency of prices; Price discovery; Short selling; Business; Portfolio and Security Analysis
• 在線閱讀: https://ink.library.smu.edu.sg/lkcsb_research/4688; https://ink.library.smu.edu.sg/context/lkcsb_research/article/5687/viewcontent/ShortSellingPriceDiscovery_2013.pdf
• 機構: Singapore Management University

We show that stock prices are more accurate when short sellers are more active. First, in a large panel of NYSE-listed stocks, intraday informational efficiency of prices improves with greater shorting flow. Second, at monthly and annual horizons, more shorting flow accelerates the incorporation of...