Does Short Selling Amplify Price Declines or Align Stocks with Their Fundamental Values?

References

• Abreu D, Brunnermeier M (2002) Synchronization risk and delayed arbitrage. J. Financial Econom. 66(2):341–360.Crossref, Google Scholar
• Allen F, Gale D (1992) Stock-price manipulation. Rev. Financial Stud. 5(3):503–529.Crossref, Google Scholar
• Asquith P, Pathak PA, Ritter JR (2005) Short interest, institutional ownership, and stock returns. J. Financial Econom. 78(2):243–276.Crossref, Google Scholar
• Bernard V, Thomas J (1990) Evidence that stock prices do not fully reflect the implications of current earnings for future earnings. J. Accounting Econom. 13(4):305–340.Crossref, Google Scholar
• Blau BM, Van Ness BF, Van Ness RA, Wood RA (2012) Short selling during extreme market movements. J. Trading 5(4):14–27.Crossref, Google Scholar
• Boehmer E, Jones CM, Zhang X (2008) Which shorts are informed? J. Finance 63(2):491–527.Crossref, Google Scholar
• Bris A, Goetzmann WN, Zhu N (2007) Efficiency and the bear: Short sales and markets around the world. J. Finance 62(3):1029–1079.Crossref, Google Scholar
• Byrne P (2006) Here's the naked truth about Overstock.com. Wall Street Journal (April 21) A15.Google Scholar
• Byrne P (2013) Full page paid advertisement. Wall Street Journal (July 27–28) A8.Google Scholar
• Chancellor E (2001) A short history of the bear market. Daily Reckoning (November 2), http://dailyreckoning.com/a-short-history-of-the-bear-market/.Google Scholar
• Christensen TE, Drake MS, Thornock JR (2014) Optimistic reporting and pessimistic investing: Do pro forma earnings disclosures attract short sellers? Contemporary Accounting Res. 31(1):67–102.Crossref, Google Scholar
• Cooper MJ, Gulen H, Schill MJ (2008) Asset growth and the cross-section of stock returns. J. Finance 63(4):1609–1651.Crossref, Google Scholar
• Cooper MJ, Gutierrez RC, Hameed A (2004) Market states and momentum. J. Finance 59(3):1345–1365.Crossref, Google Scholar
• D'Avolio G (2002) The market for borrowing stock. J. Financial Econom. 66(2–3):271–306.Crossref, Google Scholar
• Dechow PM, Hutton AP, Sloan RG (1999) An empirical assessment of the residual income valuation model. J. Accounting Econom. 26(1):1–34.Crossref, Google Scholar
• Dechow PM, Hutton AP, Meulbroek L, Sloan RG (2001) Short-sellers, fundamental analysis, and stock returns. J. Financial Econom. 61(1):77–106.Crossref, Google Scholar
• Desai H, Krishnamurthy S, Venkataraman K (2006) Do short sellers target firms with poor earnings quality? Evidence from earnings restatements. Rev. Accounting Stud. 11(1):71–90.Crossref, Google Scholar
• Doyle JT, Lundholm RJ, Soliman MT (2003) The predictive value of expenses excluded from pro forma earnings. Rev. Accounting Stud. 8(2–3):145–174.Crossref, Google Scholar
• Drake MS, Rees L, Swanson EP (2011) Should investors follow the prophets or the bears? Evidence on the use of public information by analysts and short sellers. Accounting Rev. 86(1):101–130.Crossref, Google Scholar
• Efendi J, Kinney M, Swanson EP (2005) Can short sellers anticipate accounting restatements? Working paper, University of Texas at Arlington, Arlington.Google Scholar
• Engelberg JE, Reed AV, Ringgenberg MC (2012) How are shorts informed? Short sellers, news, and information processing. J. Financial Econom. 105(2):260–278.Crossref, Google Scholar
• Fama EF, MacBeth JD (1973) Risk, return, and equilibrium: Empirical tests. J. Political Econom. 81(3):607–636.Crossref, Google Scholar
• Financial Services Authority (2008) FSA statement on short positions in financial stocks. Press release, September 18, http://www.fsa.gov.uk/pages/Library/Communication/PR/2008/102.shtml.Google Scholar
• Frankel R, Lee CMC (1998) Accounting valuation, market expectation, and cross-sectional stock returns. J. Accounting Econom. 25(3):283–319.Crossref, Google Scholar
• Geczy CC, Musto DK, Reed AV (2002) Stocks are special too: An analysis of the equity lending market. J. Financial Econom. 66(2):241–269.Crossref, Google Scholar
• Gode D, Mohanram P (2008) Improving the relationship between implied cost of capital and realized returns by removing predictable analyst forecast errors. Working paper, New York University, New York.Google Scholar
• Goldstein I, Guembel A (2008) Manipulation and the allocational role of prices. Rev. Econom. Stud. 75(1):133–164.Crossref, Google Scholar
• Gow ID, Ormazabal G, Taylor DJ (2010) Correcting for cross-sectional and time-series dependence in accounting research. Accounting Rev. 85(2):483–512.Crossref, Google Scholar
• Green J, Hand JRM, Soliman MT (2011) Going, going, gone? The demise of the accruals anomaly. Management Sci. 57(5):797–816.Link, Google Scholar
• Gujarati DN (1995) Basic Econometrics, 3rd ed. (McGraw-Hill, New York).Google Scholar
• Hirshleifer D, Teoh SH, Yu J (2011) Short arbitrage, return asymmetry and the accrual anomaly. Rev. Financial Stud. 24(7):2429–2461.Crossref, Google Scholar
• Hribar P, Collins DW (2002). Errors in estimating accruals: Implications for empirical research. J. Accounting Res. 40(1):105–134.Crossref, Google Scholar
• Jarrow RA (1992) Market manipulation, bubbles, corners and, and short squeezes. J. Financial Quant. Anal. 27(3):311–336.Crossref, Google Scholar
• Jegadeesh N (1990) Evidence of predictable behavior of security returns. J. Finance 45(3):881–898.Crossref, Google Scholar
• Jegadeesh N, Titman S (1993) Returns to buying winners and selling losers: Implications for stock market efficiency. J. Finance 48(1):65–91.Crossref, Google Scholar
• Jones CM, Lamont OA (2002) Short-sale constraints and stock returns. J. Financial Econom. 66(2–3):207–239.Crossref, Google Scholar
• Karpoff JM, Lou X (2010) Short sellers and financial misconduct. J. Finance 65(5):1879–1913.Crossref, Google Scholar
• Lamont OA (2012) Go down fighting: Short sellers vs. firms. Rev. Asset Pricing Stud. 2(1):1–30.Crossref, Google Scholar
• Lamont OA, Stein JC (2004) Aggregate short interest and market valuations. Amer. Econom. Rev. 94(2):29–32.Crossref, Google Scholar
• Lee CMC, Swaminathan B (2000) Price momentum and trading volume. J. Finance 55(5):2017–2069.Crossref, Google Scholar
• Lee CMC, Myers J, Swaminathan B (1999) What is the intrinsic value of the Dow? J. Finance 54(5):1693–1741.Crossref, Google Scholar
• Lehmann B (1990) Fads, martingales and market efficiency. Quart. J. Econom. 105(1):1–28.Crossref, Google Scholar
• Leinweber DJ, Madhavan AN (2001) Three hundred years of stock market manipulations. J. Investing 10(2):7–16.Crossref, Google Scholar
• Ohlson JA (1995) Earnings, book values, and dividends in equity valuation. Contemporary Accounting Res. 11(2):661–687.Crossref, Google Scholar
• O'Neil WJ (2005) How to Make Money Selling Stocks Short (John Wiley & Sons, Hoboken, NJ).Google Scholar
• Petersen MA (2009) Estimating standard errors in finance panel data sets: Comparing approaches. Rev. Financial Stud. 22(1):435–480.Crossref, Google Scholar
• Piotroski JD (2000) Value investing: The use of historical financial statement information to separate winners from losers. J. Accounting Res. 38(Supplement):1–41.Crossref, Google Scholar
• Pownall G, Simko PJ (2005) The information intermediary role of short-sellers. Accounting Rev. 80(3):941–966.Crossref, Google Scholar
• Richardson SA (2003) Earnings quality and short sellers. Accounting Horizons 17:49–61.Crossref, Google Scholar
• Savor P, Gamboa-Covazos M (2011) Holding on to your shorts: When do short sellers retreat? Working paper, Harvard University, Cambridge, MA.Google Scholar
• Securities and Exchange Commission (2008) Emergency order pursuant to section 12(k)(2) of the securities exchange act of 1934 taking temporary action to respond to market developments. Release 58591, September 18, http://www.sec.gov/rules/other/2008/34-58591.pdf.Google Scholar
• Securities and Exchange Commission (2009) Amendments to Regulation SHO. Release 34-60509, August 17, http://www.sec.gov/rules/proposed/2009/34-60509.pdf.Google Scholar
• Securities and Exchange Commission (2010) Amendments to Regulation SHO. Release 34-61595, February 26, http://www.sec.gov/rules/final/2010/34-61595.pdf.Google Scholar
• Shkilko A, Van Ness B, Van Ness R (2012) Short selling and intraday price pressures. Financial Management 41(2):345–370.Crossref, Google Scholar
• Sloan RG (1996) Do stock prices fully reflect information in accruals and cash flows about future earnings? Accounting Rev. 71(3):289–315.Google Scholar
• Taulli T (2004) What Is Short Selling? (McGraw-Hill, New York).Google Scholar