Are Japanese short sellers information detectives?

Bong-Soo Lee and Kwangsoo Ko

Journal of the Japanese and International Economies, 2014, vol. 34, issue C, 89-97

Abstract: Using Japanese long sample data, we examine whether short sales are informed trades about future stock returns, whether they contribute to future lower stock prices, and whether short sales are related to overvaluation of the market. We find that short interests do not cause lower future stock market returns permanently. However, we find that short interest not only responds to a past temporary decline in returns but also anticipates and contributes to future temporary changes in returns—a decline in the short run but an increase in the long run. Further, Japanese short sales tend to take advantage of current overvaluation.

Keywords: Short sale; Informed trade; Overvaluation (search for similar items in EconPapers)
JEL-codes: C58 G12 G14 G17 (search for similar items in EconPapers)
Date: 2014
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:jjieco:v:34:y:2014:i:c:p:89-97

DOI: 10.1016/j.jjie.2014.05.002

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