Uncovering Skilled Short-sellers

Fernando Chague and Bruno Giovannetti
Authors registered in the RePEc Author Service: Rodrigo De-Losso

No 2017_01, Working Papers, Department of Economics from University of São Paulo (FEA-USP)

Abstract: Studies on how skilled short-sellers trade typically employ aggregate shorting volume. Unfortunately, aggregate shorting volume is polluted by shorting for hedging, long-short strategies, and liquidity supplying. Using a unique data set that tracks all short-sellers in Brazil at the deal-level, we are able to uncover the skilled short-sellers and study them in isolation. This is revealing. Skilled short-sellers are actually short-term momentum investors (as opposed to contrarian as suggested by aggregate shorting volume), a significant part of their skill comes from market-timing, they are proficient at choosing when to cover their positions and, unlike unskilled short-sellers, display no disposition effect

Keywords: short-selling; skill; stock-picking; market-timing; disposition effect (search for similar items in EconPapers)
JEL-codes: G12 G14 (search for similar items in EconPapers)
Date: 2017-01-11
New Economics Papers: this item is included in nep-fmk
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