德勤－复旦会计论坛系列讲座之一百二十二

时间：2017年5月23日（周二）下午13：30

地点：史带楼601室

主持人: 施海娜副教授

演讲嘉宾：Jeong Bon Kim (University of Waterloo)

Title：Shorting Activity and Return Predictability: Evidence from an Information Shock

Abstract：This study investigates whether and how an exogenous shock to the public information environment created by the mandatory adoption of International Financial Reporting Standards (IFRS) and other regulatory changes in 2005 relates to short sellers’ use of private information. Using monthly firm-level data from 20 countries on the price (loan fees) and quantity of shares available for lending in the shorting market, we document that the ability of outward shifts in shorting demand and supply to predict future negative stock returns, or equivalently the profitability of equity shorting, drops significantly in the post-shock period. We show that the underlying mechanism through which the profitability of shorting decreases after the shock is an increase in investors’ consensus of opinion. We also find that a greater reduction in return predictability occurs (i) in negative earnings announcement months, (ii) when firms have larger accounting accruals, and (iii) for firms domiciled in countries with stronger implementation credibility and more disclosure changes from local GAAP to mandatory IFRS. Taken together, we conclude that mandatory IFRS and other regulatory changes reduced the information advantage of short sellers by crowding out their use of private information.

会计学系

2017-5-16