| Title: |
Do Short Sellers Exploit Risky Business Models of Banks? Evidence from Two Banking Crises |
| Authors: |
Lin, CY; Bui, DG; Lin, TC |
| Publisher Information: |
//www.elsevier.com/locate/jfstabil; United States |
| Publication Year: |
2020 |
| Collection: |
University of Hong Kong: HKU Scholars Hub |
| Subject Terms: |
Short selling; Short interest; Financial crisis; Predictability; Persistent risky business models |
| Description: |
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. ; postprint |
| Document Type: |
article in journal/newspaper |
| Language: |
English |
| Relation: |
Journal of Financial Stability; Journal of Financial Stability, 2020, v. 46, article no. 100719; article no. 100719; 321138; WOS:000512953700006; https://hub.hku.hk/handle/10722/295826; 46 |
| DOI: |
10.1016/j.jfs.2019.100719 |
| Availability: |
https://hub.hku.hk/handle/10722/295826; https://doi.org/10.1016/j.jfs.2019.100719 |
| Rights: |
This work is licensed under a Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International License. |
| Accession Number: |
edsbas.2CA2682C |
| Database: |
BASE |