The short-selling skill of institutions and individuals: a market-wide and out-of-sample analysis

Fernando Chague, Rodrigo de Losso da Silveira Bueno and Bruno Giovannetti
Authors registered in the RePEc Author Service: Rodrigo De-Losso

No 469, Textos para discussão from FGV EESP - Escola de Economia de São Paulo, Fundação Getulio Vargas (Brazil)

Abstract: Using market-wide data from the Brazilian stock lending market, we find strong evidence of short-selling skill for some institutions and individuals. Skilled short-sellers present out-of-sample performance persistence, both over time and across stocks. Performance persistence is robust: by randomly splitting the sample across stocks, we show that performance in a group of stocks often predicts performance in another group of stocks. We then study how skilled short-sellers trade. We find that most of their profit does not come from firm-specific private information, they follow short-term momentum strategies, and they do not display the disposition effect.

Date: 2018-02
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://repositorio.fgv.br/bitstreams/6d3cf84f-abf ... f6fd325a6bb/download (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:fgv:eesptd:469

Access Statistics for this paper

More papers in Textos para discussão from FGV EESP - Escola de Economia de São Paulo, Fundação Getulio Vargas (Brazil) Contact information at EDIRC.
Bibliographic data for series maintained by Núcleo de Computação da FGV EPGE ().