This study investigates whether short sellers anticipate undervaluation information before a repurchase announcement. Apart from exploring investment opportunities via searching for unfavorable information, short sellers should have the same incentive to identify favorable information to prevent potential losses. An observed significant negative relation between pre-announcement short selling activities and announcement abnormal returns supports the informed hypothesis. This negative relation is stronger under high levels of information asymmetry, and more significant when the repurchase announcement is associated with the undervaluation.
|Pages (from-to)||3544 - 3555|
|Number of pages||12|
|Journal||International Journal of Finance and Economics|
|Early online date||26 Jul 2020|
|Publication status||Published - 7 Jul 2021|
Bibliographical noteFunding Information:
The author gratefully acknowledge helpful comments and suggestions received from the two anonymous referees, George Bulkley, Ian Tonks, and conference participants at the British Accounting and Finance Association (BAFA) annual conferences, 2018, London.
© 2020 The Authors. International Journal of Finance & Economics published by John Wiley & Sons Ltd.
- AF Financial Markets
- share repurchases
- short selling
- informed trading
- information asymmetry
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Dr Liyi Zheng
- School of Accounting and Finance - Senior Lecturer in Finance