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Cited by 730

The DOI matches its Crossref record; 52 of the 52 references it cites were found in a registry or an index.

Short-Sale Strategies and Return Predictability

Open access
Diether, Karl B., Lee, Kuan-Hui, Werner, Ingrid M.·2009·Review of Financial Studies
DOI 10.1093/rfs/hhn047
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Abstract

We examine short selling in US stocks based on new SEC-mandated data for 2005. There is a tremendous amount of short selling in our sample: short sales represent 24% of NYSE and 31% of Nasdaq share volume. Short sellers increase their trading following positive returns and they correctly predict future negative abnormal returns. These patterns are robust to controlling for voluntary liquidity provision and for opportunistic risk-bearing by short sellers. The results are consistent with short sellers trading on short-term overreaction of stock prices. A trading strategy based on daily short-selling activity generates significant positive returns during the sample period.

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Metadata

Authors
Diether, K. B., Lee, K.-H., & Werner, I. M.
Venue
Review of Financial Studies
Publisher
Oxford University Press (OUP)
Published
2008-05-09
Volume
22
Issue
2
Pages
575-607
ISSN
  • 0893-9454 (ISSN-L)
  • 1465-7368
DOI
10.1093/rfs/hhn047
OpenAlex
W2062530631
Cited by
730
References
52
FWCI
57.16
Type
journal article
Language
en
Open access
green

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CoChat. (2026). Citation check: Short-Sale Strategies and Return Predictability. https://app.cochat.ai/papers/10.1093/rfs/hhn047
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Diether, K. B., Lee, K.-H., & Werner, I. M. (2009). Short-Sale Strategies and Return Predictability. Review of Financial Studies. https://doi.org/10.1093/rfs/hhn047

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Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).

Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.