標題: Do short sellers exploit risky business models of banks? Evidence from two banking crises
作者: Lin, Chih-Yung
Bui, Dien Giau
Lin, Tse-Chun
資訊管理與財務金融系 註:原資管所+財金所
Department of Information Management and Finance
關鍵字: Short selling;Short interest;Financial crisis;Predictability;Persistent risky business models
公開日期: 1-Feb-2020
摘要: We find that changes in short interest predict banks' stock returns during two recent banking crises. Furthermore, before the 2007-2008 crisis, short interest increased more for banks with worse performance during the Long-Term Capital Management crisis of 1998. We also find that changes in short interest predicted banks' loan quality and default risk during the 2007-2008 crisis. The results are stronger for banks with higher levels of risk-taking. Overall, our findings indicate that short sellers were informed about the persistent risky business models of banks and shorted those banks before the 2007-2008 crisis. (C) 2019 Elsevier B.V. All rights reserved.
URI: http://dx.doi.org/10.1016/j.jfs.2019.100719
http://hdl.handle.net/11536/153719
ISSN: 1572-3089
DOI: 10.1016/j.jfs.2019.100719
期刊: JOURNAL OF FINANCIAL STABILITY
Volume: 46
起始頁: 0
結束頁: 0
Appears in Collections:Articles