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dc.contributor.authorGeraci, Marco Valerio
dc.contributor.authorGarbaravicius, Tomas
dc.contributor.authorVeredas, David
dc.date.accessioned2018-12-10T16:09:25Z
dc.date.available2018-12-10T16:09:25Z
dc.date.issued2018
dc.identifier.issn1572-3089
dc.identifier.doi10.1016/j.jfs.2018.09.004
dc.identifier.urihttp://hdl.handle.net/20.500.12127/6053
dc.description.abstractWe study the association between daily changes in short selling activity and financial stock prices during extreme events using TailCoR, a measure of tail correlation. For the largest European and US banks, as well as European insurers, we uncover a strong relation during exceptional (extreme) days and a weak relation during normal (average) days. Examining days with large increases in short positions and large downfalls in stock prices, we find evidence of both momentum and contrarian short selling taking place. For North American bank stocks, contrarian short selling appears more practiced than for European bank and insurance stocks. We find that the uncovered relationship decreases with firm size and increases during ban periods, which is in line with short selling becoming more informative when constrained.
dc.language.isoen
dc.publisherElsevier
dc.subjectShort selling
dc.subjectTail correlation
dc.titleShort selling in extreme events
dc.identifier.journalJournal of Financial Stability
dc.source.volume39
dc.source.issueDecember
dc.source.beginpage90
dc.source.endpage103
vlerick.knowledgedomainAccounting & Finance
vlerick.typearticleArticle in academic journal
vlerick.vlerickdepartmentA&F
dc.identifier.vperid181874


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