Short Sellers' Trading on Anomalies
Cornell University - Dyson School of Applied Economics and Management; Korea University - Department of Finance
Florida State University
July 13, 2014
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, M41working papers series
Date posted: August 30, 2012 ; Last revised: July 14, 2014
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