王雪，Shorting flows, public disclosure, and market efficiency，《JOURNAL OF FINANCIAL ECONOMICS》，2020-01-11

內(nèi)容簡(jiǎn)介：Shorting flows remain a significant predictor of negative future stock returns during 2010–2015, when daily short-sale volume data are published in real time. This predictability decays slowly and lasts for a year. Long-term shorting flows are more informative than short-term shorting flows. Indeed, abnormal short-term shorting flows do not predict future returns or anticipate bad news. We find that short sellers exploit prominent anomalies. A comparison with the Regulation SHO data indicates that the predictability is much shorter-term during 20 05–20 07. Short sellers appear to have shifted from trading on short- term private information to trading on long-term public information that is gradually incorporated into prices.