 When do short sellers trade? Evidence from intraday data and implications for informed trading modelsDanqi Hu, Charles M. Jones, Xiaoyan Zhang and Xinran Zhang Journal of Financial Economics, 2025, vol. 172, issue C Abstract: Using 2015–2019 intraday short sale data from CBOE, we show that shorting flows near the open, middle, and close all negatively predict future returns, but the shorting flows near the open and middle have stronger predictive power than shorting flows near the close. We relate our findings to three informed trading models with different predictions on the timing of the trades. The long term predictive power of shorting flows near the open and midday is consistent with Kyle’s (1985) model of steady trading; the intraday variation in shorting flows’ predictive power is more consistent with Holden and Subrahmanyam’s (1992) aggressive trading model, in the sense that predictive power of shorting flows is stronger when there is greater urgency to trade at open and when the securities lending market is more competitive; and the liquidity timing hypothesis from Collin-Dufresne and Fos (2016) is also supported by the finding that opening shorting flows increase for firms with better liquidity conditions. Keywords: Short selling; Intraday trading; Information content; Off-exchange trading; Dynamic informed trading models (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:eee:jfinec:v:172:y:2025:i:c:s0304405x25001564 DOI: 10.1016/j.jfineco.2025.104148 Access Statistics for this article Journal of Financial Economics is currently edited by G. William Schwert More articles in Journal of Financial Economics from Elsevier |
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