Unconventional Monetary Policy and the Behavior of Shorts
研究了美联储非常规货币政策公告前后卖空者的行为，发现卖空者能正确预测公告带来的意外，并在公告后按意外方向调整持仓。
Abstract We investigate the behavior of shorts, considered sophisticated investors, before and after a set of Federal Reserve unconventional monetary policy announcements that spot bond markets did not fully anticipate. Short interest in agency securities systematically predicts bond price changes and other asset returns on the days of monetary announcements, particularly when growth or monetary news is released, indicating shorts correctly anticipate these surprises. Shorts also systematically rebalance after announcements in the direction of the announcement surprise when the announcement releases monetary or growth news, suggesting that shorts interpret these announcements to imply further yield changes in the same direction.