Short sellers and the informativeness of stock prices with respect to future earnings

被引：27

作者：

Drake, Michael S. ^{[1
]}

Myers, James N. ^{[2
]}

Myers, Linda A. ^{[2
]}

Stuart, Michael D. ^{[3
]}

机构：

[1] Brigham Young Univ, Marriott Sch Management, Provo, UT 84602 USA

[2] Univ Arkansas, Sam M Walton Coll Business, Fayetteville, AR 72701 USA

[3] Vanderbilt Univ, Owen Grad Sch Management, Nashville, TN 37203 USA

来源：

REVIEW OF ACCOUNTING STUDIES | 2015年 / 20卷 / 02期

关键词：

Short sellers; Short interest; Future earnings response coefficient (FERC); Market efficiency; INSTITUTIONAL INVESTORS; CROSS-SECTION; ANALYSTS; EQUITY; FORECASTS; RETURN; PERSISTENCE; DISCLOSURE; OWNERSHIP; REVISIONS;

D O I：

10.1007/s11142-014-9313-8

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

We examine whether short interest improves the informativeness of stock prices with respect to future earnings. We find that short selling strengthens the relation between current returns and future earnings, especially in settings where short sellers are likely to possess an information advantage, such as when a firm's information environment is weak or when analysts are highly optimistic about future earnings growth. Collectively, our results illustrate the important role that short sellers play in improving the extent to which current stock prices reflect information about future earnings and thus in improving market efficiency.

引用

页码：747 / 774

页数：28

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