Publication Type
Journal Article
Version
submittedVersion
Publication Date
4-2008
Abstract
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.
Keywords
short selling, return predictability, informed trading
Discipline
Business | Finance and Financial Management | Portfolio and Security Analysis
Research Areas
Finance
Publication
Journal of Finance
Volume
63
Issue
2
First Page
491
Last Page
528
ISSN
1540-6261
Identifier
10.1111/j.1540-6261.2008.01324.x
Publisher
Wiley
Citation
BOEHMER, Ekkehart; JONES, Charles M.; and ZHANG, Xiaoyan.
Which shorts are informed?. (2008). Journal of Finance. 63, (2), 491-528.
Available at: https://ink.library.smu.edu.sg/lkcsb_research/4660
Copyright Owner and License
Authors
Creative Commons License
This work is licensed under a Creative Commons Attribution-NonCommercial-No Derivative Works 4.0 International License.
Additional URL
https://doi.org/10.1111/j.1540-6261.2008.01324.x
Comments
Finalist, 2008 Smith Breeden Prize. BSI Gamma Foundation Grant.