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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| Main Authors: | , , , |
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| Format: | text |
| Language: | English |
| Published: |
Institutional Knowledge at Singapore Management University
2020
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| Subjects: | |
| 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 |