JOURNAL ARTICLE

Unpredicted costly dividends and temporary short squeezes.

  • Published In: European Financial Management, 2023, v. 29, n. 5. P. 1553 1 of 3

  • Database: Business Source Ultimate 2 of 3

  • Authored By: Huo, Xiaolin; Liu, Xin; Qiu, Zhigang; Yang, Sijie 3 of 3

Abstract

We argue that cash dividend is a type of arbitraging cost that short sellers tend to avoid. We find that dividend announcements lead to temporary short squeezes, causing the prices of highly shorted stocks to overshoot and fully revert over time. These stocks also experience excessive buy‐initiated trades and abnormal trading volume in response to dividend announcements. These results are driven mainly by stocks with unpredicted dividends, low lending fees, and high dividend yields. Overall, results suggest that news of a dividend distribution is magnified by short squeezes due to increased short costs and generates excessive nonfundamentals‐driven price fluctuations. [ABSTRACT FROM AUTHOR]

Additional Information

  • Source:European Financial Management. 2023/11, Vol. 29, Issue 5, p1553
  • Document Type:Article
  • Subject Area:Business and Management
  • Publication Date:2023
  • ISSN:1354-7798
  • DOI:10.1111/eufm.12396
  • Accession Number:173368334
  • Copyright Statement:Copyright of European Financial Management is the property of Wiley-Blackwell and its content may not be copied or emailed to multiple sites without the copyright holder's express written permission. Additionally, content may not be used with any artificial intelligence tools or machine learning technologies. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.)

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