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dc.contributor.authorGeraci, Marco Valerio
dc.contributor.authorGarbaravicius, Tomas
dc.contributor.authorVeredas, David
dc.date.accessioned2018-12-03T12:25:24Z
dc.date.available2018-12-03T12:25:24Z
dc.date.issued2018-12
dc.identifier.issn1572-3089
dc.identifier.urihttps://www.repository.cam.ac.uk/handle/1810/286228
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.description.sponsorshipThis work was supported by the Communauté française de Belgique [grant number 13/17-055].
dc.publisherElsevier
dc.rightsAttribution-NonCommercial-NoDerivatives 4.0 International
dc.rights.urihttp://creativecommons.org/licenses/by-nc-nd/4.0/
dc.subjectshort selling
dc.subjecttail correlation
dc.titleShort selling in extreme events
dc.typeArticle
prism.endingPage103
prism.publicationDate2018
prism.publicationNameJournal of Financial Stability
prism.startingPage90
prism.volume39
dc.identifier.doi10.17863/CAM.33538
dcterms.dateAccepted2018-09-26
rioxxterms.versionofrecord10.1016/j.jfs.2018.09.004
rioxxterms.versionAM
rioxxterms.licenseref.urihttp://creativecommons.org/licenses/by-nc-nd/4.0/
rioxxterms.licenseref.startdate2018-12
dc.contributor.orcidGeraci, Marco Valerio [0000-0003-1346-9433]
dc.identifier.eissn1878-0962
rioxxterms.typeJournal Article/Review
cam.issuedOnline2018-10-06
cam.orpheus.successThu Jan 30 10:53:51 GMT 2020 - Embargo updated
rioxxterms.freetoread.startdate2020-04-01


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Attribution-NonCommercial-NoDerivatives 4.0 International
Except where otherwise noted, this item's licence is described as Attribution-NonCommercial-NoDerivatives 4.0 International