Publication Type
Working Paper
Version
publishedVersion
Publication Date
9-2020
Abstract
We examine short-sellers’ use of textual information in annual reports for shorting activities. We find that more uncertainty and negative words in annual reports are associated with greater abnormal shorting volume. Short selling motivated by textual information negatively predicts stock price reaction around the filing date of 10-K reports. We further provide some evidence that textual information used by short-sellers are related to revisions of analysts’ earnings forecasts, changes in firm fundamentals, and increasing crash risk subsequently. Our results suggest that textual information in annual reports forms an important part of short-sellers’ information advantage.
Keywords
Short selling, Annual reports, Textual analysis, Stock returns, Information environment
Discipline
Finance | Finance and Financial Management
Research Areas
Finance
First Page
1
Last Page
47
Publisher
SSRN
Citation
KOT, Hung Wan; LI, Frank Weikai; LIU, Ming; and WEI, K.C. John.
Do short sellers use textual information? Evidence from annual reports. (2020). 1-47.
Available at: https://ink.library.smu.edu.sg/lkcsb_research/6598
Creative Commons License
This work is licensed under a Creative Commons Attribution-NonCommercial-No Derivative Works 4.0 International License.