Stealthy shorts: Informed liquidity supply

• 成果类型: Article
• 署名作者: Goyal, Amit; Reed, Adam, V; Smajlbegovic, Esad; Soebhag, Amar
• 署名单位: University of Lausanne; Swiss Finance Institute (SFI); University of North Carolina; University of North Carolina Chapel Hill; Erasmus University Rotterdam; Erasmus University Rotterdam - Excl Erasmus MC
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2025.104155
• 发表日期: 2025
• 关键词: Short sales; Liquidity supply; Informed trading; asset pricing

摘要

Short sellers are widely known to be informed, which would typically suggest that they demand liquidity. We obtain comprehensive transaction-level data to decompose daily short volume into liquidity-demanding and liquidity-supplying components. Contrary to conventional wisdom, we show that the most informed short sellers are actually liquidity suppliers, not liquidity demanders. They are particularly informative about future returns on news days and trade on prominent cross-sectional return anomalies. Our analysis suggests that market making and opportunistic risk-bearing are unlikely to explain these findings. Instead, our results align with recent market microstructure theory, pointing to strategic liquidity provision by informed traders.