Abstract

http://ssrn.com/abstract=2138547
 
 

Citations (2)



 


 



Short Sellers' Trading on Anomalies


Byoung-Hyoun Hwang


Cornell University - Dyson School of Applied Economics and Management; Korea University - Department of Finance

Baixiao Liu


Florida State University

July 13, 2014


Abstract:     
This paper investigates the extent to which short sellers trade on anomalies. Our evidence suggests that short sellers consider anomaly characteristics. At the same time, there are striking differences in the popularity of anomaly strategies, as preference is given to strategies with high Sharpe Ratios and low correlations with other anomaly strategies. Anomaly-based short selling contributes substantially to short sellers’ profitability.

Number of Pages in PDF File: 41

Keywords: Short Sellers, Anomalies, Profitability

JEL Classification: G11, G12, G14, M41

working papers series


Download This Paper

Date posted: August 30, 2012 ; Last revised: July 14, 2014

Suggested Citation

Hwang, Byoung-Hyoun and Liu, Baixiao, Short Sellers' Trading on Anomalies (July 13, 2014). Available at SSRN: http://ssrn.com/abstract=2138547 or http://dx.doi.org/10.2139/ssrn.2138547

Contact Information

Byoung-Hyoun Hwang (Contact Author)
Cornell University - Dyson School of Applied Economics and Management ( email )
Ithaca, NY
United States
HOME PAGE: http://www.bhwang.com
Korea University - Department of Finance
Seoul, 136-701
Korea
Baixiao Liu
Florida State University ( email )
Tallahasse, FL 32306
United States

Feedback to SSRN


Paper statistics
Abstract Views: 2,491
Downloads: 528
Download Rank: 28,405
Citations:  2

© 2014 Social Science Electronic Publishing, Inc. All Rights Reserved.  FAQ   Terms of Use   Privacy Policy   Copyright   Contact Us
This page was processed by apollo3 in 0.532 seconds