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Short Selling and Stock Price Crash RiskShort Selling and Stock Price Crash Risk
- Other Titles
- Short Selling and Stock Price Crash Risk
- Issue Date
- Jun-2020
- Publisher
- 한국파생상품학회
- Keywords
- Short Selling; Crash Risk; Foreign Ownership
- Citation
- 선물연구, v.28, no.2, pp.245 - 262
- Journal Title
- 선물연구
- Volume
- 28
- Number
- 2
- Start Page
- 245
- End Page
- 262
- ISSN
- 1229-988X
- Abstract
- This paper investigates short selling and stock price crash risk. We find that short selling is positively associated with one-month-ahead stock price crash risk, consistent with the literature showing that short sellers are informed traders. We attribute this prediction ability to the information short sellers receive from foreign investors with high levels of ownership in a firm. Our results shed light on policy issues regarding short selling regulation.
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Related Researcher
- Chung, Jae Man
- College of Business Administration (School of Finance)