Journal of Finance Vol. 63 No. 2 2008
Which Shorts Are Informed?
Abstract
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
- 10.1111/j.1540-6261.2008.01324.x
- Volume
- 63
- Issue
- 2
- Pages
- 491-527
- Language
- en
- Sources
- openalex crossref bibtex:phds-export.bib