Journal of Corporate Finance · Volume 46, October 2017, Pages 121-138
SEO公告前后的知情卖空交易
作者：Sanjay Deshmukh (DePaul University), Keith Jacks Gamble (Middle Tennessee State University), Keith M.Howe (DePaul University)
摘要：已有大量关于增发（SEOs）公告前后卖空的文献主要集中在操纵上，但是这些公告前后是否伴随知情卖空交易尚待商榷。我们通过检验如下的关系研究SEO公告前后的知情卖空交易：i）公告前卖空交易与公告期回报，以及ii）SEO公告前后卖空收益变动和SEO之后的长期经营和股票价格表现。我们发现在SEO公告之前，卖空收益大幅增长的公司表现出较低的（即更负的）公告期回报，并且这类公司在SEO之后的长期经营和股票价格表现较差。我们还发现，卖空收益大幅增长和长期经营和股价表现之间的负相关关系在暂搁发行中更加明显。这个结果突出了在暂搁发行中卖空方在识别机会性市场时机的信息作用。我们总的结果表明存在SEO公告前后知情卖空交易。
Informed short selling around SEO announcements
Sanjay Deshmukh (DePaul University), Keith Jacks Gamble (Middle Tennessee State University), Keith M.Howe (DePaul University)
ABSTRACT
While much of the prior research on short selling around announcements of seasoned equity offerings (SEOs) has focused on manipulation, it is unclear whether there is also informed short selling around these announcements. We test for informed short selling around SEO announcements by examining the relation between i) pre-announcement short selling and the announcement-period return and ii) changes in short interest around the SEO announcement and the long-term operating and stock price performance following the equity issue. We find that firms with large increases in short interest prior to the SEO announcement exhibit lower (i.e., more negative) announcement-period returns, and that firms with large increases in short interest around the SEO announcement experience inferior long-term operating and stock price performance following the equity issue. We also find that the negative relation between large increases in short interest and long-term operating and stock price performance is more pronounced among shelf offers. This result highlights the informational role of short sellers in identifying opportunistic market timers of equity issues among shelf filers. Our overall results indicate the presence of informed short selling around SEO announcements.
原文链接：
http://www.sciencedirect.com/science/article/pii/S0929119916301481
翻译：熊进宗
