Choi, Jaewon
[VerfasserIn]
;
Park, Ji Min
[Sonstige Person, Familie und Körperschaft];
Pearson, Neil D.
[Sonstige Person, Familie und Körperschaft];
Sandy, Shastri
[Sonstige Person, Familie und Körperschaft]
Erschienen in:HKUST Finance Symposium 2016: Active Investing and Arbitrage Capital
Umfang:
1 Online-Ressource (72 p)
Sprache:
Englisch
DOI:
10.2139/ssrn.2799423
Identifikator:
Entstehung:
Anmerkungen:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments August 30, 2020 erstellt
Beschreibung:
We examine the profitability of hedge fund equity short sales. We identify opening and closing trades by combining data on funds' transactions and holdings. Short sales covered within five trading days are highly profitable, but those kept open longer are not. Some of the profitability is due to trading on information and some stems from liquidity provision in both opening and covering trades. The finding that longer-term short trades are not profitable indicates that it is difficult to achieve the returns that results in the short-selling literature suggest should be readily attainable. Short selling profitability is persistent, consistent with skill