This paper investigates whether short sales have increased the market efficiency since short sales were allowed in 2010. Evidence from regression R-squared method and from Dimson beta method shows that short sales do increase the revealing of firm specific information, and individual stock prices react to their own information quicker than before. This paper also checks whether short sales contain information in the earnings announcement events. Results confirm that short sellers are able to make profit through increasing their short positions at pre-announcement period.
JEL Codes: G12, G14, G15
Total Reviews: 0
After completion purchase and payment you will get an email with download link of book. You can download this book within 24 hours. Be remember you can't download this book after 24 hours.