What Do Short Sellers Know?
Abstract
Using a five-year panel of proprietary NYSE short sale order data, we investigate the sources of short sellers’ informational advantage. Heavier shorting is found the week before negative earnings surprises, analyst downgrades, and downward revisions in analyst earnings forecasts. The biggest effects are associated with analyst downgrades. While earnings and analyst event days constitute only 12% of sample days, they account for over 24% of the...
Paper Details
Title
What Do Short Sellers Know?
Published Date
Jan 1, 2012
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