The short-selling skill of institutions and individuals: a market-wide and out-of-sample analysis
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...
| Autores: | , , |
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| Tipo de recurso: | artículo |
| Estado: | Versión publicada |
| Fecha de publicación: | 2018 |
| País: | Brasil |
| Institución: | Fundação Getulio Vargas (FGV) |
| Repositorio: | Repositório Institucional do FGV (FGV Repositório Digital) |
| Idioma: | inglés |
| OAI Identifier: | oai:repositorio.fgv.br:10438/20221 |
| Acceso en línea: | http://hdl.handle.net/10438/20221 |
| Access Level: | acceso abierto |
| Palabra clave: | Short-selling Skilled investors Out-of-sample performance Short-term momentum Disposition effect Economia Investidores (Finanças) Venda Desempenho |
| Sumario: | 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. |
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