Which Shorts Are Informed?
利用纽交所专有订单数据构建卖空日度面板，发现卖空者整体信息灵通，被大量卖空的股票未来20个交易日风险调整后跑输1.16%，其中机构非程序化卖空信息含量最高。
ABSTRACT We construct a long daily panel of short sales using proprietary NYSE order data. From 2000 to 2004, shorting accounts for more than 12.9% of NYSE volume, suggesting that shorting constraints are not widespread. As a group, these short sellers are well informed. Heavily shorted stocks underperform lightly shorted stocks by a risk‐adjusted average of 1.16% over the following 20 trading days (15.6% annualized). Institutional nonprogram short sales are the most informative; stocks heavily shorted by institutions underperform by 1.43% the next month (19.6% annualized). The results indicate that, on average, short sellers are important contributors to efficient stock prices.