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How do corporate earnings announcements influence short selling in the Netherlands?

Verstraten, J.C. (2016) How do corporate earnings announcements influence short selling in the Netherlands?

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Abstract:This paper researches the relationship between short selling prior to corporate earnings announcements and stock returns after the corporate earnings announcements in the Netherlands. The dataset consists of 3419 observations of short sell transactions distributed over 31 companies, with in total 366 corporate earnings announcements in the years 2013, 2014 and 2015. The results show that short sellers tend to decrease their short position abnormally in the fifteen days prior to the corporate earnings announcement. The article, however, fails to support the assumption that short sellers are informed, as short selling prior to the corporate earnings announcement is not able to explain the return after the corporate earnings announcement. The article, however, was able to find a significant influence of the return five days prior to the earnings announcement and the availability of put options on the level of abnormal short selling. At last, the aggregated net short position is found to have a significant negative influence on the return after the corporate earnings announcement.
Item Type:Essay (Bachelor)
Faculty:BMS: Behavioural, Management and Social Sciences
Subject:85 business administration, organizational science
Programme:International Business Administration BSc (50952)
Link to this item:http://purl.utwente.nl/essays/70049
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