Purpose

This paper examines how sophisticated and better-informed investors, such as short sellers, trade on information along the supply chain. Given the economic linkages between suppliers and customers, one would expect short sellers to trade on such information and to capitalize on investors' inattention to such economic links.

Design/methodology/approach

This paper uses both multivariate regression analysis and portfolio analysis where the time series averages of equally weighted monthly portfolio returns are reported to explore the abnormal returns of long-short trading strategies.

Findings

Results indicate that short interest predicts unexpected earnings news, consistent with short sellers extracting information from economic relationships. There is a strong negative relationship between short interest in the supplier firm and the one-month future stock return of the customer firm. This negative relation significantly persists for at least 12 months. One plausible channel explaining the information content of supplier (customer) firm's short interest for the customer (supplier) firms is the short sale constraints on the customer (supplier) firms.

Originality/value

The paper addresses a gap in the literature by examining whether short selling in a firm in the months leading up to a customer's (supplier's) negative shock is negatively correlated to the customer's (supplier's) future performance. Overall, the findings suggest that short sellers play an important role in the price discovery of related firms in the supply chain, which is beyond the direct effects documented in prior literature.

中文翻译：

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知情卖空：来自经济关联公司的证据

目的

本文研究了经验丰富且消息灵通的投资者（例如卖空者）如何利用供应链上的信息进行交易。鉴于供应商和客户之间的经济联系，人们会期望卖空者利用此类信息进行交易，并利用投资者对此类经济联系的疏忽进行交易。

设计/方法/方法

本文使用多元回归分析和投资组合分析，其中报告了等权重的每月投资组合收益的时间序列平均值，以探索多空交易策略的异常收益。

发现

结果表明，空头利息可预测意外的收益消息，这与卖空者从经济关系中提取信息一致。对供应商公司的空头兴趣与客户公司 1 个月的未来股票收益之间存在很强的负相关关系。这种负相关显着持续了至少 12 个月。解释供应商（客户）公司对客户（供应商）公司的卖空兴趣的信息内容的一种似是而非的渠道是对客户（供应商）公司的卖空约束。

原创性/价值

该论文通过检查公司在导致客户（供应商）负面冲击前几个月的卖空行为是否与客户（供应商）的未来业绩呈负相关，从而填补了文献中的空白。总体而言，研究结果表明卖空者在供应链中相关公司的价格发现中发挥着重要作用，这超出了先前文献中记录的直接影响。