Short-Sale Strategies and Return Predictability

Clicks: 1
ID: 305990
2008
Free PDF
Article Quality & Performance Metrics
Overall Quality
Not rated
Combines reader engagement with the AI quality analysis. This article has not been analysed, so there is no overall score — reader engagement is measured and shown alongside.
AI Quality Assessment
Not analyzed
Readership in this journal

Ranked #185 of 192 articles by views in review of financial studies

Most read Least read

Bar heights use a square-root scale. Only the 120 most-read articles are drawn; the journal has 192 in total.

Mint this article as an NFT
Not yet minted

Create a permanent, verifiable on-chain record of this article on the Scimatic Network. The NFT is held in your Journament account, and you can withdraw it to your own wallet at any time.

5 SUSD one-off · no wallet required
Sign in to mint
Abstract
We examine short selling in US stocks based on new SEC-mandated data for 2005. There is a tremendous amount of short selling in our sample: short sales represent 24% of NYSE and 31% of Nasdaq share volume. Short sellers increase their trading following positive returns and they correctly predict future negative abnormal returns. These patterns are robust to controlling for voluntary liquidity provision and for opportunistic risk-bearing by short sellers. The results are consistent with short sellers trading on short-term overreaction of stock prices. A trading strategy based on daily short-selling activity generates significant positive returns during the sample period.
Reference Key
openalex_W2062530631 Use this key to autocite in the manuscript while using SciMatic Manuscript Manager or Thesis Manager
Authors Karl B. Diether, Kuan‐Hui Lee, Ingrid M. Werner
Journal review of financial studies
Year 2008
DOI
10.1093/rfs/hhn047
URL
https://doi.org/10.1093/rfs/hhn047
Keywords Keywords not found

Citations

No citations found. To add a citation, contact the admin at info@scimatic.org

Comments

No comments yet. Be the first to comment on this article.