Are Short Sellers Informed? Evidence from REITs
Xuemin (Sterling) Yan
affiliation not provided to SSRN
Financial Review, Vol. 47, Issue 1, pp. 145-170, 2012
This paper uses intraday short sale data to examine whether short sellers of Real Estate Investment Trusts (REITs) are informed. We find strong evidence that short selling predicts future returns of REITs. Heavily shorted REITs significantly underperform lightly shorted REITs by approximately 1% over the following 20 trading days. This predictive relation holds for both small and large trades, but is stronger for large short trades. We also document a positive relation between shorting activity and volatility. Our results are consistent with the view that short sellers of REITs are informed and contribute to market efficiency by impounding information into prices.
Keywords: short selling, informed trading, REIT
JEL Classification: G14, G19Accepted Paper Series
Date posted: January 5, 2012
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