Download or read book Short Sales and Post Earnings Announcement Drift written by Lin Zheng and published by . This book was released on 2009 with total page 36 pages. Available in PDF, EPUB and Kindle. Book excerpt: Using intraday transactions data including short sales, I study short-selling around quarterly earnings announcements and linkages between short sales and post earnings announcement stock returns. Short sales increase immediately after both negative and positive earnings surprises. Furthermore, patterns in shorting at subsequent surprises in series of same-sign earnings surprises suggest that short sellers exploit the consequences of other investors' behavioral biases. The results highlight motivations for short sales after earnings announcements, and illustrate how short-selling contributes to market efficiency after positive (but not negative) earnings surprises.