Which shorts are informed?

• 成果类型: Article
• 署名作者: Boehmer, Ekkehart; Jones, Charles M.; Zhang, Xiaoyan
• 署名单位: Texas A&M University System; Texas A&M University College Station; Mays Business School; Columbia University; Cornell University
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/j.1540-6261.2008.01324.x
• 发表日期: 2008
• 页码: 491-527
• 关键词: cross-section; SHORT-SELLERS; stock-market; SHORT SALES; constraints; volatility; returns; volume; RISK

摘要

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.