The DOI matches its Crossref record; 2 of the 2 references it cites were found in a registry or an index.
Which Shorts Are Informed?
Open accessAbstract
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.
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Cites
Common risk factors in the returns on stocks and bonds
Fama, E. F., & French, K. R. (1993) · Journal of Financial Economics · doi:10.1016/0304-405x(93)90023-5 · Cited by 25,754
Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency
JEGADEESH, N., & TITMAN, S. (1993) · The Journal of Finance · doi:10.1111/j.1540-6261.1993.tb04702.x · Cited by 11,584
Cited by
Short-Sale Strategies and Return Predictability
Diether, K. B., Lee, K.-H., & Werner, I. M. (2009) · Review of Financial Studies · doi:10.1093/rfs/hhn047 · Cited by 730
Price Efficiency and Short Selling
Saffi, P. A. C., & Sigurdsson, K. (2011) · Review of Financial Studies · doi:10.1093/rfs/hhq124 · Cited by 667
Engelberg, J. E., Reed, A. V., & Ringgenberg, M. C. (2012) · Journal of Financial Economics · doi:10.1016/j.jfineco.2012.03.001 · Cited by 666
Zaremba, A., Kizys, R., Aharon, D. Y., & Demir, E. (2020) · Finance Research Letters · doi:10.1016/j.frl.2020.101597 · Cited by 630
Tracking Retail Investor Activity
BOEHMER, E., JONES, C. M., ZHANG, X., & ZHANG, X. (2021) · The Journal of Finance · doi:10.1111/jofi.13033 · Cited by 599
Self-citation
Metadata
- Authors
- BOEHMER, E., JONES, C. M., & ZHANG, X.
- Venue
- The Journal of Finance
- Publisher
- Wiley
- Published
- 2008-04
- Volume
- 63
- Issue
- 2
- Pages
- 491-527
- ISSN
- 0022-1082 (ISSN-L)
- 1540-6261
- OpenAlex
- W3122012456
- Cited by
- 966
- References
- 2
- FWCI
- 63.18
- Type
- journal article
- Language
- en
- Open access
- green
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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.
