What do short sellers know?

What do short sellers know?

Using NYSE short-sale order data, we investigate whether short sellers' informational advantage is related to firm earnings and analyst-related events. With a novel decomposition method, we find that while these fundamental event days constitute only 12% of sample days, they account for over 24...

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Bibliographic Details
Main Authors: BOEHMER, Ekkehart, JONES, Charles M., WU, Juan (Julie), ZHANG, Xiaoyan
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 2020
Subjects:
short selling
firm fundamentals news
private information
return decomposition
analysts
Finance and Financial Management
Portfolio and Security Analysis
Online Access:https://ink.library.smu.edu.sg/lkcsb_research/6698
https://ink.library.smu.edu.sg/context/lkcsb_research/article/7697/viewcontent/ShortSellers_2020_sv.pdf
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Institution: Singapore Management University
Language: English

Internet

https://ink.library.smu.edu.sg/lkcsb_research/6698
https://ink.library.smu.edu.sg/context/lkcsb_research/article/7697/viewcontent/ShortSellers_2020_sv.pdf

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