How are shorts informed?: Short sellers, news, and information processing
We find that a substantial portion of short sellers' trading advantage comes from their ability to analyze publicly available information. Using a database of short sales combined with a database of news releases, we show that the well-documented negative relation between short sales and future...
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| Veröffentlicht in: | Journal of financial economics 2012-08, Vol.105 (2), p.260 |
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| container_title | Journal of financial economics |
| container_volume | 105 |
| creator | Engelberg, Joseph E Reed, Adam V Ringgenberg, Matthew C |
| description | We find that a substantial portion of short sellers' trading advantage comes from their ability to analyze publicly available information. Using a database of short sales combined with a database of news releases, we show that the well-documented negative relation between short sales and future returns is twice as large on news days and four times as large on days with negative news. Further, we find that the most informed short sales are not from market makers but rather from clients, and we find only weak evidence that short sellers anticipate news events. Overall, the evidence suggests that public news provides valuable trading opportunities for short sellers who are skilled information processors. [PUBLICATION ABSTRACT] |
| doi_str_mv | 10.1016/j.jfineco.2012.03.001 |
| format | Article |
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| identifier | ISSN: 0304-405X |
| ispartof | Journal of financial economics, 2012-08, Vol.105 (2), p.260 |
| issn | 0304-405X 1879-2774 |
| language | eng |
| recordid | cdi_proquest_journals_1020879786 |
| source | Elsevier ScienceDirect Journals |
| subjects | Information processing Rates of return Securities trading Short sales Studies |
| title | How are shorts informed?: Short sellers, news, and information processing |
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