Which shorts are informed?

• Main Authors: BOEHMER, Ekkehart, JONES, Charles M., ZHANG, Xiaoyan
• 格式: text
• 語言: English
• 出版: Institutional Knowledge at Singapore Management University 2008
• 主題: short selling; return predictability; informed trading; Business; Finance and Financial Management; Portfolio and Security Analysis
• 在線閱讀: https://ink.library.smu.edu.sg/lkcsb_research/4660; https://ink.library.smu.edu.sg/context/lkcsb_research/article/5659/viewcontent/WhichShortsInformed_pp.pdf
• 機構: Singapore Management University

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...