Which Shorts Are Informed?
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 l...
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| Veröffentlicht in: | The Journal of finance (New York) 2008-04, Vol.63 (2), p.491-527 |
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| container_end_page | 527 |
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| container_issue | 2 |
| container_start_page | 491 |
| container_title | The Journal of finance (New York) |
| container_volume | 63 |
| creator | BOEHMER, EKKEHART JONES, CHARLES M. ZHANG, XIAOYAN |
| description | 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. |
| doi_str_mv | 10.1111/j.1540-6261.2008.01324.x |
| format | Article |
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| subjects | Business orders Common stock Financial economics Financial information Financial portfolios Financial research New York Stock Exchange Risk Sales Short sales Stock exchange Stock exchanges Stock prices Stock sales Stock shares Studies Trade Trade volume U.S.A |
| title | Which Shorts Are Informed? |
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