Short sales are almost instantaneously bad news: Evidence from the Australian Stock Exchange

摘要: This paper investigates the market reaction to short sales on an intraday basis in a setting where are transparent immediately following execution. We find mean reassessment of stock value up -0.20 percent with adverse information impounded within fifteen minutes or twenty trades. Short executed near end financial year and those related arbitrage hedging activities associated smaller price reaction; trades events precipitate larger reactions. The evidence is generally weaker for using limit orders relative orders. THIS ARTICLE ANALYZES THE INTRADAY behavior surrounding setting. A number recent studies have focused daily monthly selling activity U.S. markets (e.g., Senchack Starks (1993), Figlewski Webb Conrad (1994), Hanley, Seyhun Asquith Meulbroek (1996), Dechow et al. (1997)). research has been motivated by continued interest regulators i:n controversy desirability, restrictions, disclosure requirements (see Janvey (1992) Ramsay (1993)). In particular, several such as that (1993) examined relationship between positions subsequent abnormal returns without finding strong relationship. contrast, focus firms large consistent (1997) correlation strategies based fundamental analysis. These results sellers being able identify