讲座主题：Shorting Activity and Stock Return Predictability: Evidence from an Information Shock
摘要：Employing the international equity lending markets as a laboratory to capture investors’ private information flow, we show that the ability of shorting to predict negative future stock returns drops after the public information shock of a mandatory accounting change, thus reducing short-sellers’ profitability. We also show that shorting profitability drops due to a decrease in investors’ divergence of opinion around the public information shock. These results imply that the introduction of a mandatory accounting change that increases public information flow can crowd out short-sellers’ use of private information, consistent with a substitutional relation between public and private information.
讲座人简介：Jeong-Bon Kim is the Chair Professor and the Acting Head at Department of Accountancy, City University of Hong Kong. Professor Kim has broad research interests in corporate disclosure, corporate governance, auditing, debt markets, and international business issues. He is widely known as one of pioneer researchers on the causes and consequences of stock price crash risk. Professor Kim is a prolific researcher and has published over 90 refereed journal articles in The Accounting Review, Journal of Accounting and Economics, Journal of Accounting Research, Journal of Financial Economics, Review of Accounting Studies, Contemporary Accounting Research, and other journals. Professor Kim is currently the chief editor for Asia-Pacific Journal of Accounting and Economics and China Journal of Accounting Research, an associate editor for Journal of Contemporary Accounting and Economics, and has served on the editorial board of Contemporary Accounting Research, Auditing: Journal of Practice & Theory, and Journal of International Accounting Research.