von Beschwitz, Bastian
[Verfasser:in]
;
Chuprinin, Oleg
[Sonstige Person, Familie und Körperschaft];
Massa, Massimo
[Sonstige Person, Familie und Körperschaft]
Erschienen in:FRB International Finance Discussion Paper ; No. 1149
Umfang:
1 Online-Ressource (59 p)
Sprache:
Englisch
Entstehung:
Anmerkungen:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments 2015-11-05 erstellt
Beschreibung:
Short sellers trade more on days with qualitative news -- i.e. news containing fewer numbers. We show that this behavior is not informationally motivated but can be explained by short sellers exploiting higher liquidity on such days. We document that liquidity and noise trading increase in the presence of qualitative news thus enabling short sellers to better disguise their informed trades. Natural experiments support our findings. For example, qualitative news has a bigger effect on short sellers' trading after a decrease in liquidity following a stock's deletion from S&P 500 and a lower effect when investor attention is distracted by the Olympic Games