Chapter 39. The Information Content of Short Selling before Macroeconomic Announcements
Paul Brockman and (Grace) Qing Hao
39.1 Introduction 566
39.4 Results 571
39.5 Conclusion 575
This chapter examines short sale transactions in exchange-traded funds during a 2-day window prior to the release of 10 key macroeconomic announcements. A negative and significant relation between prerelease abnormal short selling and postrelease stock returns would suggest the presence of informed short selling. Previous studies suggest that some reports (e.g., the Employment Situation Report) are more important than others. Empirical results provide affirmative evidence of informed ...