Earticle

초록

영어

This paper investigates whether short-selling facilitates arbitrage activity and mitigates the positive post-earnings announcement drift (PEAD), the well-known underpricing anomaly. Using the quarterly earnings announcement of the Korean Stock Exchange KOSPI200 composite stocks, we find that positive earnings stock in a difficult-to-short industry experiences larger and more persistent underpricing after earnings announcement than those in an easy-to-short industry; and that the observed larger underpricing in a difficult-to-short industry is associated with the short-sale constraint, not with their illiquidity or information inefficiency. Moreover, this inverse relation between the positive PEAD and its industry’s short-ability is stronger during the inactive equity linked warrant (ELW) trade period, thereby suggesting that short-selling alleviates the mispricing by facilitating arbitrage activities (not by the other channels); and ELW actually play roles as an alternative of short trade.

목차

Abstract
 1. Introduction
 2. The Literature
 3. Data and Methodology
 4. Empirical Analysis
  4.1. Summary statistics of sample firms
  4.2. Delayed price response for positive earnings announcement
  4.3. Robustness check
  4.4. ELW and the effect of short-selling on stock underpricing
 5. Conclusion
 Reference

키워드

저자

• Shu-Feng Wang [ College of Business Administration, Sungkyunkwan University ]
• Hyo-Jeong Lee [ Division of Business Administration, Kwangwoon University ] Corresponding author

참고문헌

발행기관

간행물

표지보기 관심저널 등록

• 간행물명

  한국재무학회 심포지엄

• 간기

  부정기

• 수록기간

  2006~2026

• 십진분류

  KDC 325 DDC 330