How are Shorts Informed? Short Sellers, News, and Information Processing

By Joseph E. Engelberg, Adam V. Reed, Matthew C. Ringgenberg. 2012

432 citations recorded by the source corpus.

Subfields: Accounting, Finance, Management Science and Operations Research

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Citations in the corpus

Textual Sentiment in Finance: A Survey of Methods and Models (2014, methodology): “Engelberg (2008), Tetlock et al. (2008), Sinha (2010), and Engelberg et al. (2012) employ much wider news sources, and they all research firm-specific news.”
News Trading and Speed (2012, neutral): “This value follows a Gaussian process given by vt = v0 + ∫ t 0 dvτ , with dvt = σv dB v t , (1) where v0 is normally distributed with mean 0 and variance Σ0, and B v t is a Brownian motion.11 The informed trader observes v0 at time 0 and, at each time t + dt ∈ [0, 1] observes dvt.”
Presidential Address: Asset Price Dynamics with Slow‐Moving Capital (2010, background): “…in processing information for purposes of investment decisions are also in evidence from “price momentum” following fundamental news, as documented empirically by Chan (2003), Engelberg, Reed, and Ringgenberg (2010), Dellavigna and Pollet (2009), and Cohen and Lou (2010), among others.”
A Multiple Lender Approach to Understanding Supply and Search in the Equity Lending Market (2013, background): “On the other hand, Engelberg, Reed, and Ringgenberg (2012) and Fox, Glosten, and Tetlock (2010) show that short sellers do respond to daily news events.”
Investigating the Relations between Twitter Sentiment and Stock Prices (2015, background): “Regarding news, various approaches have been attempted: (i) to connect exogenous news with price movements [7], (ii) to study stock price reaction to news [8, 9]; (iii) the correlation between high or low pessimism of media and high market trading volume [10]; (iv) the relation between the sentiment”
Intraday online investor sentiment and return patterns in the U.S. stock market (2017, background): “…hereafter) are widely used in the literature to measure sentiment in articles published in traditional media (Tetlock, 2007; Tetlock et al., 2008; Engelberg et al., 2012; Dougal et al., 2012; Garcia, 2013), textual sentiment analysis of user-generated content published on the Internet mainly…”
Are Institutions Informed About News (2015, background): “Engelberg, Reed, and Ringgenberg (2012) combine data on short selling with news releases to show that short sellers' trading advantage comes largely from their ability to analyze publicly available information and not from being able to anticipate information before it becomes public.”
Asset Price Dynamics with Slow-Moving Capital (2010, background): “…in processing information for purposes of investment decisions are also in evidence from “price momentum” following fundamental news, as documented empirically by Chan (2003), Engelberg, Reed, and Ringgenberg (2010), Dellavigna and Pollet (2009), and Cohen and Lou (2010), among others.”
The effect of news and public mood on stock movements (2014, background): “Otherwise, public information reduces asymmetric information, and the trades of informed investors should be less profitable on a news release day [13].”
In Short Supply: Short Sellers and Stock Returns (2015, positive): “…studies that examine short-selling at the individual stock level have consistently demonstrated that, as a group, short-sellers are sophisticated investors with superior information processing capabilities (e.g., Dechow et al. 2001; Desai et al. 2002; Drake et al. 2011; and Engelberg et al. 2012).”
Natural Language Processing in Accounting, Auditing and Finance: A Synthesis of the Literature with a Roadmap for Future Research (2016, background): “14%) were associated with studies employing sentiment analysis (Sinha, 2010; Bollen et al., 2011a; Engelberg et al., 2012; Smales, 2014).”
The Media and Mispricing: The Role of the Business Press in the Pricing of Accounting Information (2014, neutral): “In addition, Fang and Peress (2009) report that investors demand a return premium for firms with low media coverage, and Kothari et al.”
Short interest and stock price crash risk (2015, neutral): “6 See also Dechow et al. (2001), Christophe et al. (2004, 2010), Engelberg et al. (2012).”