Chapter 38. Aggregate Short Selling during Earnings Seasons
Paul Brockman, Andrew Lynch, and Andrei Nikiforov
38.1 Introduction 552
38.4 Conclusion 562
This chapter examines aggregate short selling during earnings seasons and shows that hedging is an important determinant of aggregate short selling activity around these highly volatile periods. Using a database made available through Regulation SHO of the Securities and Exchange Commission (SEC), we find that over 25% of all earnings season-related trading volume is attributable to short selling. We find that aggregate short selling increases sharply in the first 2 weeks of the earnings season and that aggregate short selling ...