Abstract

http://ssrn.com/abstract=2138547
 
 

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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

November 11, 2014


Abstract:     
We document and discuss cues that drive arbitrage activity. We focus on arbitrageurs specializing in the shorting of seemingly overpriced securities. Contrary to popular accounts that the convexity in fee structure utilized in the hedge fund industry encourages managers to speculate and take on too much risk, our evidence suggests that short arbitrageurs are non-speculative and prefer strategies with low risk, high returns and low correlations with other strategies. Correspondingly, we present evidence that short arbitrageurs act in an informed- and in a market-stabilizing manner.

Number of Pages in PDF File: 45

Keywords: Arbitrageurs, Short Sellers, Incentive Effects of Contracts, Market Efficiency

JEL Classification: G11, G12, G14, M41

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Date posted: August 30, 2012 ; Last revised: November 13, 2014

Suggested Citation

Hwang, Byoung-Hyoun and Liu, Baixiao, Short Sellers' Trading on Anomalies (November 11, 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

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