| Status | 已發表Published |
| Do Short Sellers Use Textual Information? Evidence from Annual Reports | |
Kot, H. W.; Li, F. W.; Liu, M.; Wei, K. J.
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| 2020-12-12 | |
| Source Publication | NA
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| 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 the filing date of 10-K reports. We further provide some evidence that textual information used by short sellers are related to revisions of analysts’ earnings forecasts, changes in firm fundamentals, and 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 | 58465 |
| Document Type | Conference paper |
| Collection | University of Macau |
| Corresponding Author | Wei, K. J. |
| Recommended Citation GB/T 7714 | Kot, H. W.,Li, F. W.,Liu, M.,et al. Do Short Sellers Use Textual Information? Evidence from Annual Reports[C], 2020. |
| APA | Kot, H. W.., Li, F. W.., Liu, M.., & Wei, K. J. (2020). Do Short Sellers Use Textual Information? Evidence from Annual Reports. NA. |
| Files in This Item: | There are no files associated with this item. | |||||
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