报告题目：Catching Straw in the Wind: Do Short Sellers Trade on Customer Information?
摘要：This study investigates whether short sellers trade the stocks of suppliers based on customer information. Taking advantage of the intraday short-selling data from the Trades and Quotes-Regulation SHO (TAQ-RegSHO) database, we find that the cumulative abnormal short-sale volume of the stocks of suppliers around the quarterly earnings announcements of their major customers is negatively associated with the standardized unexpected earnings of the customers, which suggests that short sellers exploit the earnings news of major customers to trade the stock of suppliers. Our cross-sectional tests show that the negative association is mitigated when the suppliers and customers have common analysts and higher percentage of common transient institutional investors. However, the negative association is more pronounced for supplier-customer pairs with stronger economic ties (i.e., higher sales dependence and R&D expenditures, and longer duration of relationship). Further analyses indicate that the abnormal trading activities of short sellers are mainly driven by their superior ability to interpret the public information of the customers, although the evidence on their access to private information is somewhat weak. This study identifies the intermediary role of short sellers in incorporating customer information into the stock prices of suppliers and mitigating the supplier-customer anomaly. The study provides direct and robust evidence on short selling behaviors in disseminating customer information along the supply chain.