Publication Type
Journal Article
Version
acceptedVersion
Publication Date
4-2018
Abstract
Short sellers are known to have private information about security prices. Empirical evidence of short selling, however, is based on only half of short sellers’ trading activity; specifically, the opening of the position. Using disclosed large short position data from the Japanese stock market, we provide the first detailed evidence of covering trades and find a positive reaction to short covering that only partially reverses. While these results are consistent with substantial transaction costs for closing large short positions, they also reveal that some short sellers are privately informed about positive future events and have timing ability in covering positions.
Keywords
Short Selling, Short Covering, Informed Trading
Discipline
Finance and Financial Management | Portfolio and Security Analysis
Research Areas
Finance
Publication
Journal of Financial and Quantitative Analysis
Volume
53
Issue
2
First Page
723
Last Page
748
ISSN
0022-1090
Identifier
10.1017/S0022109017001193
Publisher
Cambridge University Press (CUP): HSS Journals
Citation
BOEHMER, Ekkehart; DUONG, Truong X.; and HUSZAR, Zsuzsa R..
Short covering trades. (2018). Journal of Financial and Quantitative Analysis. 53, (2), 723-748.
Available at: https://ink.library.smu.edu.sg/lkcsb_research/5877
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/10.1017/S0022109017001193