Séminaires de recherche

Retail Short Selling and Stock Prices

Finance

Intervenant : Paul Tetlock
Columbia Unviversity

9 octobre 2014

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This study tests asset pricing theories that feature short selling using a large

database of retail trading. We find that retail short selling negatively predicts

firms’ monthly stock returns and news tone, even controlling for overall short

selling. Predictability from retail shorting is strongest in stocks with low analyst

and media coverage, high idiosyncratic volatility, and high turnover; it does not

depend on short sales constraints. Retail buying positively predicts returns in

similar types of stocks. These results are consistent with the theory that retail

short selling informs market prices, but are inconsistent with alternative theories

in which retail short selling is a proxy for sentiment or attention.

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Contacts  

Département Finance 

Campus HEC Paris
1, rue de la Libération
78351 Jouy-en-Josas cedex
France

Faculté  

Christophe SPAENJERS

Finance (GREGHEC)

Voir le CV

4th Annual HEC Paris Workshop Preliminary Program “Banking, Finance, Macroeconomics and the Real Economy”  


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