|To test this
hypothesis the authors regress post issue performance on various measures of
pre issue short selling intensity.
|They regress post
issue returns measured over one day after issue to 5 days after issue on pre
issue SS measured over 1 to 5 days prior to issue, they also include a shelf
dummy to distinguish between shelf offering and non-shelf offering and well
as an interaction of this dummy with SS measures.
|The results of
this regression are insignificant at the 5% level. These insignificantly
positive coefficients are consistent with either informed short selling or a
lack of power in tests.
|So the authors
donít really take a call on this hypothesis.