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Short seller attention

Author

Listed:
  • Dai, Rui
  • Ng, Lilian
  • Zaiats, Nataliya

Abstract

This paper exploits the complex information setting of customer-supplier links to assess revealed short-seller attention. Results suggest that short sellers are attentive to the news of corporate customers to short their suppliers’ stocks. This short selling behavior strengthens with co-attention, as proxied by same-day downloads of both customer and supplier SEC disclosure documents by the same investor. Our findings indicate that such short sales predict negative future returns on suppliers’ stocks, suggesting that sophisticated investors trade profitably by focusing their attention on a complicated information setting.

Suggested Citation

  • Dai, Rui & Ng, Lilian & Zaiats, Nataliya, 2022. "Short seller attention," Journal of Corporate Finance, Elsevier, vol. 72(C).
    • Handle: RePEc:eee:corfin:v:72:y:2022:i:c:s0929119921002716
    DOI: 10.1016/j.jcorpfin.2021.102149
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    References listed on IDEAS

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    More about this item

    Keywords

    Short sales; News; Earnings announcements; Customer-supplier relations;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G23 - Financial Economics - - Financial Institutions and Services - - - Non-bank Financial Institutions; Financial Instruments; Institutional Investors
    • G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill

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