Dissecting Short-Sale Performance: Evidence from Large Position Disclosures

68 Pages Posted: 17 Jul 2015 Last revised: 18 Aug 2017

See all articles by Stephan Jank

Stephan Jank

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

Esad Smajlbegovic

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

Date Written: August 15, 2017

Abstract

Short sellers are perceived as informed, sophisticated investors. Yet little is known about their identity and the determinants of their performance. Using novel data of daily disclosures in Europe, we identify large short positions of individual institutions and study their performance. Hedge funds, the predominant short sellers, receive on average an annualized Fama-French risk-adjusted return of about 5.5%. Although this return is explained by trading on mispricing-related factors, there is considerable variation across funds. Local, diversified, and active funds outperform other funds. We also document a first-mover advantage and an outperformance related to investment horizon and industry experience.

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

JEL Classification: G14, G15, G23

Suggested Citation

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

Deutsche Bundesbank ( email )

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

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

Albertus-Magnus Platz
Cologne, 50923
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

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