Research and publications
What do Short Sellers Know?
Using proprietary short-sale order data, we investigate the sources of short sellers’ informational advantage. Heavier shorting occurs the week before negative earnings surprises, analyst downgrades, and downward revisions in analyst earnings forecasts. The biggest effects are associated with analyst downgrades.
Author(s):
Ekkehart Boehmer, Charles M. Jones, Xiaoyan Zhang
Summary:
Using proprietary short-sale order data, we investigate the sources of short sellers’ informational advantage. Heavier shorting occurs the week before negative earnings surprises, analyst downgrades, and downward revisions in analyst earnings forecasts. The biggest effects are associated with analyst downgrades.
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Register/Log in| Type : | Working paper |
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| Date : | 23/01/2012 |
| Keywords : |
Investment Management |
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