Which shorts are informed?

Which shorts are informed?

We construct a long daily panel of short sales using proprietary NYSE order data. From 2000 to 2004, shorting accounts for more than 12.9% of NYSE volume, suggesting that shorting constraints are not widespread. As a group, these short sellers are well informed. Heavily shorted stocks underperform l...

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Bibliographic Details
Main Authors: BOEHMER, Ekkehart, JONES, Charles M., ZHANG, Xiaoyan
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 2008
Subjects:
short selling
return predictability
informed trading
Business
Finance and Financial Management
Portfolio and Security Analysis
Online Access:https://ink.library.smu.edu.sg/lkcsb_research/4660
https://ink.library.smu.edu.sg/context/lkcsb_research/article/5659/viewcontent/WhichShortsInformed_pp.pdf
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Institution: Singapore Management University
Language: English
Description
Summary:We construct a long daily panel of short sales using proprietary NYSE order data. From 2000 to 2004, shorting accounts for more than 12.9% of NYSE volume, suggesting that shorting constraints are not widespread. As a group, these short sellers are well informed. Heavily shorted stocks underperform lightly shorted stocks by a risk-adjusted average of 1.16% over the following 20 trading days (15.6% annualized). Institutional nonprogram short sales are the most informative; stocks heavily shorted by institutions underperform by 1.43% the next month (19.6% annualized). The results indicate that, on average, short sellers are important contributors to efficient stock prices.

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