时间：2019年11月20日（周三下午），16:00-17:00

地点：学院南路主教409教室

报告题目：Catching Straw in the Wind: Do Short Sellers Trade on Customer Information?

报告人：张文兰（中南财经政法大学）

摘要：This study investigates whether short sellers trade the stocks of suppliers based on customer information. Taking advantage of the intraday short-selling data from the Trades and Quotes-Regulation SHO (TAQ-RegSHO) database, we find that the cumulative abnormal short-sale volume of the stocks of suppliers around the quarterly earnings announcements of their major customers is negatively associated with the standardized unexpected earnings of the customers, which suggests that short sellers exploit the earnings news of major customers to trade the stock of suppliers. Our cross-sectional tests show that the negative association is mitigated when the suppliers and customers have common analysts and higher percentage of common transient institutional investors. However, the negative association is more pronounced for supplier-customer pairs with stronger economic ties (i.e., higher sales dependence and R&D expenditures, and longer duration of relationship). Further analyses indicate that the abnormal trading activities of short sellers are mainly driven by their superior ability to interpret the public information of the customers, although the evidence on their access to private information is somewhat weak. This study identifies the intermediary role of short sellers in incorporating customer information into the stock prices of suppliers and mitigating the supplier-customer anomaly. The study provides direct and robust evidence on short selling behaviors in disseminating customer information along the supply chain.

报告人简介：

张文兰，中南财经政法大学讲师，博士毕业于香港浸会大学。研究方向为机构投资者共同持股、供应商-客户关系、债权市场、财务会计和审计。主持国家自然科学基金青年项目1项，研究成果被接受发表于Accounting Horizons。