Abstract

https://ssrn.com/abstract=2894507
 


 



Uncovering Skilled Short-Sellers


Fernando Chague


University of Sao Paulo (USP) - Department of Economics

Rodrigo De-Losso


University of Sao Paulo (USP) - Department of Economics

Bruno Giovannetti


University of Sao Paulo (USP) - Department of Economics

January 9, 2017


Abstract:     
Empirical studies on how skilled short-sellers trade typically employ aggregate shorting volume. Unfortunately, aggregate shorting volume is polluted by shorting for hedging, long-short strategies, and liquidity supplying. Using a unique deal-level data set that tracks all short-sellers in Brazil, we uncover the skilled short-sellers and study them in isolation. We show that they are actually short-term momentum investors — and not contrarian as suggested by aggregate shorting volume — and that most of their skill (73%) comes from stock-picking. Moreover, we show that skilled short-sellers are proficient at choosing when to cover their positions and display no disposition effect.

Number of Pages in PDF File: 50

Keywords: short-selling, skill, stock-picking, market-timing, disposition effect

JEL Classification: G12, G14


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Date posted: January 9, 2017 ; Last revised: January 12, 2017

Suggested Citation

Chague, Fernando and De-Losso, Rodrigo and Giovannetti, Bruno, Uncovering Skilled Short-Sellers (January 9, 2017). Available at SSRN: https://ssrn.com/abstract=2894507

Contact Information

Fernando Chague
University of Sao Paulo (USP) - Department of Economics ( email )
Brazil
Rodrigo De-Losso
University of Sao Paulo (USP) - Department of Economics ( email )
Av. Prof. Luciano Gualberto 908
Sao Paulo SP, 05508-900
Brazil
551130916070 (Phone)
Bruno Giovannetti (Contact Author)
University of Sao Paulo (USP) - Department of Economics ( email )
Rua Luciano Gualberto
Sao Paulo, 10027
Brazil
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