The short-selling skill of institutions and individualsa market-wide and out-of-sample analysis

Resumo

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.

Ficha do documento

Tipo

Estudo

Ano

2018

Instituição

Escola de Economia de São Paulo

Fonte

Repositório da FGV

Idioma

Inglês

Acesso

Não informado

Identificador

oai:repositorio.fgv.br:10438/20221

Temas

Economia

Palavras-chave

Short-sellingSkilled investorsOut-of-sample performanceShort-term momentumDisposition effectEconomiaInvestidores (Finanças)VendaDesempenho