Bond Rating Changes and Short Sale

Cho, Seong Soon; Park, Soon Hong

Korean Journal of Financial Studies 2014;43(3):499-542.
Published online June 30, 2014.

Seong Soon Cho, Soon Hong Park

신용등급 변화와 공매도 거래

조성순, 박순홍

Abstract

Using the Korean non-financial firm`s bond rating changes over the period between2000 and 2010, this paper examines whether short-sellers are informed traders. Contrary to previous studies, we could not find the results that short-sellers can predict future negative events in advance. Moreover, we could not find the suggesting results that foreign short-sellers are more informed traders than other traders, such as domestic institutional and individual investors. Additionally, our analysis of Korean bond rating agency firms reveals that there is no significant information leakage. Collectively, our findings suggest that at least for bond rating changes, there is no significant and economic evidence that short-sellers are informed traders and there is not information leakage in advance of bond rating changes.

Key Words: 공매도 거래,비정상 공매도,신용등급,정보거래,정보유출,Abnormal Short-Sale,Bond Rating,Information Leakage,Informed Ttrading,Short Sale