Abstract

http://ssrn.com/abstract=2138547
 


 



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

December 17, 2014


Abstract:     
We study 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 take on risk, our evidence suggests that short arbitrageurs shy away from risk and prefer low-risk, high-return strategies that have weak correlations with other strategies. Correspondingly, we present evidence that short arbitrageurs act in an informed and market-stabilizing manner.

Number of Pages in PDF File: 46

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: December 18, 2014

Suggested Citation

Hwang, Byoung-Hyoun and Liu, Baixiao, Short Sellers' Trading on Anomalies (December 17, 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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