The short-selling skill of institutions and individuals

Resumo

Using market-wide data from the Brazilian stock lending market, we nd strong evidence of short-selling skill among 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 nd that most of their pro t does not come from rm-speci c private information, they follow short-term momentum strategies, and they do not display the disposition effect

Ficha do documento

Tipo

Outro

Ano

2017

Instituição

Fundação Getulio Vargas

Fonte

Repositório da FGV

Idioma

Inglês

Acesso

Não informado

Identificador

oai:repositorio.fgv.br:10438/19428

Temas

Economia

Palavras-chave

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