Faculty of Business Administration
The Loud Silence Of Suppressed Shorting Demand
Prof. Susan Jinjuan REN
Associate Professor in Finance
University of Macau
Date: 20 November, 2019 (Wednesday)
Venue: Faculty of Business Administration, E22-4010
We focus on stocks without shorting activities and quantify their tightness of short-sale constraints from the demand side. Using the special institutional setting of the Chinese securities market, we estimate a characteristics model to explain the actual short-selling turnover of shortable stocks. We then apply the model out-of-sample to unshortable stocks and estimate their shorting demand, which is entirely suppressed by regulation and positively measures the tightness of short-sale constraints. We find that the suppressed shorting demand contains rich information as it negatively predicts future returns, adds to price delays, and leads to a stronger post-earnings-announcement-drift.
Prof. Jinjuan Ren has been an associate professor in finance at University of Macau since 2015. She was an assistant professor at University of Macau from 2009 – 2015. She is a CFA charter-holder. She obtained a B.A. degree in Accounting from Fudan University in 2001, an MPhil degree in Accounting and Finance from University of Hong Kong in 2004, and a PhD degree in Finance from University of Hong Kong in 2009. She published papers in top journals such as Management Science, Journal of Banking and Finance, etc.