2017-13_Deng_Gao_Kemme.pdf (707.74 kB)
The information content of short selling and put option trading: When are they substitutes?
reportposted on 2023-05-28, 00:27 authored by Deng, X, Gao, L, Kemme, D
Using January 2005 - June 2007 trading data for all NYSE stocks we identify the informational patterns and impact of exogenous shocks in short sales and option trades upon stock price changes. We find that short sales have more predictive power than put option trades. However, if short selling volume is low put options trading does have predictive power and thus may be a substitute used by informed investors.
Department/SchoolTasmanian College of the Arts
PublisherUniversity of Tasmania
Place of publicationHobart
Rights statementJEL Classification Codes: G12; G14