| Status | 已發表Published |
| Do short sellers use textual information? Evidence from annual report | |
Kot, H. W.; Li, W.K.; Liu, M.; Wei, J.K.C.
| |
| 2020-07-31 | |
| Abstract | We examine short sellers’ use of textual information in annual reports for shorting activities. We find that more uncertainty and negative words in annual reports are associated with greater abnormal shorting volume. Short selling motivated by textual information negatively predicts stock price reaction around filing date of 10-Ks. We further provide some evidence that textual information used by short sellers are related to revision of analysts’ earnings forecasts, changes in firm fundamentals, as well as increasing crash risk subsequently. Our results suggest that textual information in annual reports forms an important part of short sellers’ information advantage. |
| Keyword | short selling annual reports textual analysis stock returns information environment |
| Language | 英語English |
| The Source to Article | PB_Publication |
| PUB ID | 51733 |
| Document Type | Report |
| Collection | University of Macau |
| Corresponding Author | Wei, J.K.C. |
| Recommended Citation GB/T 7714 | Kot, H. W.,Li, W.K.,Liu, M.,et al. Do short sellers use textual information? Evidence from annual report, 2020. |
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