Download or read book Two Essays on the Evolution and Role of Short Selling Activity in Financial Markets written by Wanxi Zhao and published by . This book was released on 2022 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: Using detailed daily short interest data for U.S. common stocks over the period of 2006 to 2017, my second essay examines short selling activities around earnings announcements and their impact on stocks prices. Stocks with high short interest, large changes in short interest, more covered shorts, or more new short positions prior to earnings announcements have stronger price reactions to earnings news and much weaker post-earnings-announcement drifts (PEADs). Trades by short sellers during earnings announcements are consistent with the earnings surprises as well as announcement-period returns. However, these trades do not predict post-earnings-announcement drifts. The results suggest that on average short sellers do not actively trade on earnings-related news or anomalies, but their information acquisition and trading activities help improve price discovery during earnings announcements.