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The short-selling skill of institutions and individuals

Fernando Chague (), Rodrigo De-Losso and Bruno Giovannetti ()

Journal of Banking & Finance, 2019, vol. 101, issue C, 77-91

Abstract: Using market-wide data from the Brazilian stock lending market at the deal level, we find strong evidence of short-selling skill for institutions and individuals. Skilled short-sellers present out-of-sample performance persistence. Exploring the granularity of our dataset, we find that skilled short-sellers do not display the disposition effect, are more likely to pick value, liquid, high-volatility, and losing stocks, and to initiate a short position before earnings announcements and around sell recommendations.

Keywords: Short-selling; Skilled investors; Out-of-sample performance; Short-term momentum; Disposition effect (search for similar items in EconPapers)
JEL-codes: G12 G14 (search for similar items in EconPapers)
Date: 2019
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DOI: 10.1016/j.jbankfin.2019.02.003

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Handle: RePEc:eee:jbfina:v:101:y:2019:i:c:p:77-91