Publication Type
Journal Article
Version
submittedVersion
Publication Date
11-2020
Abstract
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% of the overall underperformance of heavily shorted stocks. Importantly, short sellers use both public news and private information to anticipate news regarding earnings and analysts. Shorting's predictive ability remains significant after controlling for information in analyst actions and displays no reversal patterns, indicating that short sellers know more than analysts, and the nature of their information is long term.
Keywords
short selling, firm fundamentals news, private information, return decomposition, analysts
Discipline
Finance and Financial Management | Portfolio and Security Analysis
Research Areas
Finance
Publication
Review of Finance
Volume
24
Issue
6
First Page
1203
Last Page
1235
ISSN
1572-3097
Identifier
10.1093/rof/rfaa008
Publisher
Oxford University Press
Embargo Period
5-10-2021
Citation
BOEHMER, Ekkehart; JONES, Charles M.; WU, Juan (Julie); and ZHANG, Xiaoyan.
What do short sellers know?. (2020). Review of Finance. 24, (6), 1203-1235.
Available at: https://ink.library.smu.edu.sg/lkcsb_research/6698
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/10.1093/rof/rfaa008