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Article: Do Short Sellers Exploit Risky Business Models of Banks? Evidence from Two Banking Crises
Title | Do Short Sellers Exploit Risky Business Models of Banks? Evidence from Two Banking Crises |
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Authors | |
Keywords | Short selling Short interest Financial crisis Predictability Persistent risky business models |
Issue Date | 2020 |
Publisher | Elsevier Inc. The Journal's web site is located at http://www.elsevier.com/locate/jfstabil |
Citation | Journal of Financial Stability, 2020, v. 46, article no. 100719 How to Cite? |
Abstract | 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. |
Persistent Identifier | http://hdl.handle.net/10722/295826 |
ISSN | 2023 Impact Factor: 6.1 2023 SCImago Journal Rankings: 1.837 |
ISI Accession Number ID |
DC Field | Value | Language |
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dc.contributor.author | Lin, CY | - |
dc.contributor.author | Bui, DG | - |
dc.contributor.author | Lin, TC | - |
dc.date.accessioned | 2021-02-08T08:14:34Z | - |
dc.date.available | 2021-02-08T08:14:34Z | - |
dc.date.issued | 2020 | - |
dc.identifier.citation | Journal of Financial Stability, 2020, v. 46, article no. 100719 | - |
dc.identifier.issn | 1572-3089 | - |
dc.identifier.uri | http://hdl.handle.net/10722/295826 | - |
dc.description.abstract | 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. | - |
dc.language | eng | - |
dc.publisher | Elsevier Inc. The Journal's web site is located at http://www.elsevier.com/locate/jfstabil | - |
dc.relation.ispartof | Journal of Financial Stability | - |
dc.rights | This work is licensed under a Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International License. | - |
dc.subject | Short selling | - |
dc.subject | Short interest | - |
dc.subject | Financial crisis | - |
dc.subject | Predictability | - |
dc.subject | Persistent risky business models | - |
dc.title | Do Short Sellers Exploit Risky Business Models of Banks? Evidence from Two Banking Crises | - |
dc.type | Article | - |
dc.identifier.email | Lin, TC: chunlin@hku.hk | - |
dc.identifier.authority | Lin, TC=rp01077 | - |
dc.description.nature | postprint | - |
dc.identifier.doi | 10.1016/j.jfs.2019.100719 | - |
dc.identifier.scopus | eid_2-s2.0-85076669332 | - |
dc.identifier.hkuros | 321138 | - |
dc.identifier.volume | 46 | - |
dc.identifier.spage | article no. 100719 | - |
dc.identifier.epage | article no. 100719 | - |
dc.identifier.isi | WOS:000512953700006 | - |
dc.publisher.place | United States | - |