Short Selling and the Price Discovery Process

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...

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Veröffentlicht in:	The Review of financial studies 2013-02, Vol.26 (2), p.287-322
Hauptverfasser:	Boehmer, Ekkehart, Wu, Juan (Julie)
Format:	Artikel
Sprache:	eng
Schlagworte:	Autocorrelation Earnings Earnings announcements Econometrics Economic efficiency Economic theory Efficiency metrics Efficient markets Market prices Price efficiency Prices Rates of return Sales management Securities trading Short sales Stock exchanges Stock prices Stock returns Studies Time series Trade
Online-Zugang:	Volltext
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