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Short Selling and Stock Price Crash Risk
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Publication Year
2020-06
Journal
선물연구
Publisher
한국파생상품학회
Citation
선물연구, Vol.28 No.2, pp.245-262
Keyword
Short SellingCrash RiskForeign Ownership
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.
ISSN
2713-6647
Language
Eng
URI
https://aurora.ajou.ac.kr/handle/2018.oak/35232
DOI
https://doi.org/10.1108/JDQS-04-2020-0005
Type
Article
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Wang,Shu-Feng Image
Wang,Shu-Feng왕수봉
Department of Business Administration
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