Dissecting Short-Sale Performance: Evidence from Large Position Disclosures

67 Pages Posted: 17 Jul 2015 Last revised: 30 Jul 2021

See all articles by Stephan Jank

Stephan Jank

University of Cologne - Centre for Financial Research (CFR); Deutsche Bundesbank

Esad Smajlbegovic

Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE); Erasmus Research Institute of Management (ERIM); Tinbergen Institute

Date Written: August 15, 2017

Abstract

Using novel data of daily disclosures in Europe, we identify large short positions of individual institutions and study their performance. Hedge funds earn as a group an average, annualized Fama-French risk-adjusted return of about 5.5%, which is largely explained by trading on mispricing-related factors. However, there is rich variation in performance across investors and positions. Exploiting information on the identity of the short sellers, we find that local, more diversified, and more active hedge funds outperform their counterparts. We also document a first-mover advantage and an increasing performance with longer investment horizon and greater industry experience.

Keywords: Short-sale performance, Anomalies, Hedge funds, Fund attributes

JEL Classification: G14, G15, G23

Suggested Citation

Jank, Stephan and Jank, Stephan and Smajlbegovic, Esad, Dissecting Short-Sale Performance: Evidence from Large Position Disclosures (August 15, 2017). Available at SSRN: https://ssrn.com/abstract=2631266 or http://dx.doi.org/10.2139/ssrn.2631266

Stephan Jank

University of Cologne - Centre for Financial Research (CFR) ( email )

Albertus-Magnus Platz
Cologne, 50923
Germany

Deutsche Bundesbank ( email )

Wilhelm-Epstein-Str. 14
Frankfurt/Main, 60431
Germany

Esad Smajlbegovic (Contact Author)

Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE) ( email )

P.O. Box 1738
3000 DR Rotterdam, NL 3062 PA
Netherlands

HOME PAGE: http://sites.google.com/site/esmajlbe/

Erasmus Research Institute of Management (ERIM) ( email )

P.O. Box 1738
3000 DR Rotterdam
Netherlands

Tinbergen Institute ( email )

Burg. Oudlaan 50
Rotterdam, 3062 PA
Netherlands

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