Short selling and economic policy uncertainty

• Main Authors: CAO, Xiaping, WANG, Yuchen, ZHOU, Sili
• 格式: text
• 語言: English
• 出版: Institutional Knowledge at Singapore Management University 2017
• 主題: Short selling; economic policy uncertainty; political uncertainty; trading; risk; mispricing; Economic Policy; Finance and Financial Management
• 在線閱讀: https://ink.library.smu.edu.sg/lkcsb_research/5233; https://ink.library.smu.edu.sg/context/lkcsb_research/article/6232/viewcontent/SSRN_id2948291.pdf

We study the trading behavior of short sellers in the presence of economic policy uncertainty (EPU). Daily short selling activity at either the aggregate level or the individual stock level is increasing in the EPU index (Baker, Bloom and Davis, 2016). EPU has great explanatory power for short tradi...