Short Selling and Market Anomalies
Document Type
Article
Publication Date
7-15-2019
Publication Title
Journal of Financial Markets
First page number:
1
Last page number:
21
Abstract
We assess the importance of well-known market anomalies for shorting strategies and how it changes over the 1988–2014 period. We find that anomalies contribute to both relative short interest (RSI) and RSI's negative information content about future earnings surprises and analyst actions. Anomalies explain more than half of the RSI-return relation. These results neither attenuate over time nor vary with market sentiment. RSI on least-shorted firms contains unique return-predictive information, which becomes increasingly important over time while RSI on most-shorted firms does not. Our findings suggest that a significant portion of short sellers' informational advantage comes from exploiting market anomalies.
Keywords
Financial information; Market anomalies; Short selling
Disciplines
Economics | Finance
Language
English
Repository Citation
Wu, J.,
Zhang, A.
(2019).
Short Selling and Market Anomalies.
Journal of Financial Markets
1-21.
http://dx.doi.org/10.1016/j.finmar.2019.07.001
