Common Short Selling and Excess Comovement
Marco Valerio Geraci,
Jean-Yves Gnabo () and
Cambridge Working Papers in Economics from Faculty of Economics, University of Cambridge
We show that common short sold capital can explain future six-factor excess return correlation one month ahead, controlling for many pair characteristics, including similarities in size, book-to-market, and momentum. We explore the possible mechanisms that could give rise to this relationship. We find that price pressure cannot explain the uncovered relationship. Rather, the relationship is consistent with informed trading, which we identify using additional profiling data for short sellers.
Keywords: short selling; comovement; hedge funds (search for similar items in EconPapers)
JEL-codes: G12 G14 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-fmk
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Persistent link: https://EconPapers.repec.org/RePEc:cam:camdae:2066
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