Short Sellers' Trading on Anomalies

46 Pages Posted: 30 Aug 2012 Last revised: 18 Dec 2014

See all articles by Byoung-Hyoun Hwang

Byoung-Hyoun Hwang

Nanyang Business School, Nanyang Technological University

Baixiao Liu

Peking University HSBC Business School

Date Written: 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.

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

JEL Classification: G11, G12, G14, M41

Suggested Citation

Hwang, Byoung-Hyoun and Liu, Baixiao, Short Sellers' Trading on Anomalies (December 17, 2014). Available at SSRN: https://ssrn.com/abstract=2138547 or http://dx.doi.org/10.2139/ssrn.2138547

Byoung-Hyoun Hwang (Contact Author)

Nanyang Business School, Nanyang Technological University ( email )

Singapore, 639798
Singapore

Baixiao Liu

Peking University HSBC Business School ( email )

Do you have a job opening that you would like to promote on SSRN?

Paper statistics

Downloads
844
Abstract Views
5,798
rank
37,348
PlumX Metrics