Short-sellers' Private Information Research: Based on the Perspective of Earnings Announcement

This paper selects relevant quarterly date from September 2013 to June 2016, and analyzes the relationship between short-seller's information and earning announcement. The results shows that short-selling activities increased significantly before negative earnings announcement, and there is a statistically significant negative correlation between them and post announcement stock returns. According to the empirical results and theoretical analysis, this paper argues that China's short-sellers are informed traders having negative private information, mainly conducting short-selling activity based on them, which makes negative information quickly enter the stock price, thus improving the pricing efficiency of stock.