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Uncovering Skilled Short-sellers

Author

Listed:
  • Fernando Chague
  • Rodrigo De Losso, Bruno Giovannetti

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

Suggested Citation

  • Fernando Chague & Rodrigo De Losso, Bruno Giovannetti, 2017. "Uncovering Skilled Short-sellers," Working Papers, Department of Economics 2017_01, University of São Paulo (FEA-USP).
    • Handle: RePEc:spa:wpaper:2017wpecon01
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    References listed on IDEAS

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    More about this item

    Keywords

    short-selling; skill; stock-picking; market-timing; disposition effect;
    All these keywords.

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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    This paper has been announced in the following NEP Reports:

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