近日三位中国学者在国际顶级期刊JFE发文！

会计学术联盟学术快报栏目荣誉出品

资料整理：辽工大 会计硕士生  刘雪

资料整理：首经贸 会计硕士生  黄烨华

小编：会计学术联盟服务员  萌小二

会计学术联盟报道：近日来自清华大学、对外经贸大学、中国人民大学的学者合作论文发表在金融和财务领域国际顶尖期刊Journal of Financial Economics（2020年第1期）。

1.Potential pilot problems: Treatment spillovers in financial regulatory experiments

"Ekkehart Boehmer

Charles M. Jones

 Xiaoyan Zhang"

"Lee Kong Chian School of Business, Singapore Management University, 50 Stamford Road, Singapore

Columbia Business School, Columbia University, 3022 Broadway, New York, NY 10027, USA

PBC School of Finance, Tsinghua University, 43 Chengfu Road, Beijing, China"

The total effects of a regulatory change consist of direct effects and indirect effects (spillovers), but the standard difference-in-difference approach mostly ignores potential indirect effects. During the 2007 full repeal of the uptick rule, short-sellers become much more aggressive across the board, even in control stocks where the uptick rule is already suspended. This finding is consistent with positive and significant indirect effects on control stocks, likely driven by aggressive broad list-based shorting. In contract, the indirect effect coefficients on shorting aggressiveness are negative for the 2005 partial uptick repeal, possibly due to substitutions between control and treatment stocks.

2.Shorting flows, public disclosure, and market efficiency

"Xue Wang(a)

Xuemin (Sterling) Yan(b,c)

Lingling Zheng(d)""

University of International Business and Economics, School of Banking and Finance, Beijing, China

University of Missouri, Trulaske College of Business, Columbia, MO 65211, USA

Lehigh University, College of Business and Economics, Bethlehem, PA 18015, USA

Renmin University of China, School of Business, Beijing, China"

Shorting flows remain a significant predictor of negative future stock returns during 2010–2015, when daily short-sale volume data are published in real time. This predictability decays slowly and lasts for a year. Long-term shorting flows are more informative than short-term shorting flows. Indeed, abnormal short-term shorting flows do not predict future returns or anticipate bad news. We find that short sellers exploit prominent anomalies. A comparison with the Regulation SHO data indicates that the predictability is much shorter-term during 2005–2007. Short sellers appear to have shifted from trading on short-term private information to trading on long-term public information that is gradually incorporated into prices.

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