What Do Short Sellers Know?

47 Pages Posted: 23 Dec 2012 Last revised: 22 Jan 2018

See all articles by Ekkehart Boehmer

Ekkehart Boehmer

Singapore Management University - Lee Kong Chian School of Business

Charles M. Jones

Columbia Business School

Julie Wu

University of Nebraska - Lincoln

Xiaoyan Zhang

Tsinghua University - PBC School of Finance

Date Written: January 5, 2018

Abstract

Using five years of NYSE short sale order data, we investigate whether short-sellers’ informational advantage is related to firm earnings and analyst-related events. While these event days constitute only 12% of sample days, they account for over 24% of the overall underperformance of heavily shorted stocks. Short sellers use both public news and private information to anticipate earnings events and analyst recommendation changes. Shorting predictability remains significant after controlling for information in analyst actions, suggesting that short sellers know more than analysts about firm fundamentals. Finally, we find no evidence of price reversals following informed shorts.

Keywords: short-selling, earnings news, analyst recommendations, analyst forecasts

JEL Classification: G20, G14

Suggested Citation

Boehmer, Ekkehart and Jones, Charles M. and Wu, Julie and Zhang, Xiaoyan, What Do Short Sellers Know? (January 5, 2018). Available at SSRN: https://ssrn.com/abstract=2192958 or http://dx.doi.org/10.2139/ssrn.2192958

Ekkehart Boehmer (Contact Author)

Singapore Management University - Lee Kong Chian School of Business ( email )

Singapore

Charles M. Jones

Columbia Business School ( email )

3022 Broadway
Uris Hall Rm 101
New York, NY 10027
United States
(212) 854-4109 (Phone)

HOME PAGE: http://https://www8.gsb.columbia.edu/cbs-directory/detail/cj88

Julie Wu

University of Nebraska - Lincoln ( email )

Lincoln, NE 68588
United States

Xiaoyan Zhang

Tsinghua University - PBC School of Finance

No. 43, Chengdu Road
Haidian District
Beijing 100083
China

Register to save articles to
your library

Register

Paper statistics

Downloads
780
rank
30,246
Abstract Views
2,962
PlumX Metrics
!

Under construction: SSRN citations will be offline until July when we will launch a brand new and improved citations service, check here for more details.

For more information