Business Cycle Variation in Short Selling Strategies: Picking During Expansions and Timing During Recessions
研究发现卖空者在经济扩张期更擅长选股（预测个股收益），而在衰退期更擅长择时（预测市场收益），这源于信息获取策略随注意力约束和过度自信变化。
Abstract We present evidence that short sellers alternate between stock picking during expansions and market timing during recessions. First, firm-level short interest is a much stronger negative predictor of the cross-section of stock returns during expansions than it is during recessions. High short interest also only predicts negative future earnings announcement returns during expansions. We attribute these findings to short sellers’ emphasis on collecting firm-specific signals. Second, short sellers appear to make factor bets more so during recessions than during expansions. These bets tend to pay off as we observe a strong negative relation between the betas of highly shorted stocks and future stock market returns, a result that disappears during expansions. Together, these findings are consistent with theories of information acquisition under attention constraints, endogenous information production, as well as theories of time variation in aggregate overconfidence amongst traders.