Article ID Journal Published Year Pages File Type
7352006 Finance Research Letters 2018 24 Pages PDF
Abstract
This paper examines the causal effect of short selling on analyst forecast precision by exploiting a regulatory change in short-sale constraints (Regulation SHO) as a natural experiment. I find that short selling increases analysts' rounding of forecasts, which indicates that analysts allocate less effort to gathering precise information on firms with downward price pressure. In the cross-section, the effect of short selling on analyst forecast precision is stronger for firms with more firm-specific information and firms with low levels of institutional holdings.
Related Topics
Social Sciences and Humanities Economics, Econometrics and Finance Economics and Econometrics
Authors
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