A First Look at Mutual Funds That Use Short Sales
研究了共同基金卖空行为，发现这些基金频繁且大量卖空，平均占资产16%，年超额收益1.5%，卖空头寸贡献4.1%异常收益，基金经理在其他基金中也表现优异。
Abstract We provide a first look at short selling by mutual funds, a phenomenon not examined by prior research. Mutual funds that short do so frequently and in significant amounts, averaging about 16% of fund assets. These funds outperform benchmarks by 1.5% per year. An analysis of portfolio holdings shows that these funds generate abnormal performance from their short (4.1% per year) and long (1.5% per year) positions. Managers of short-selling mutual funds also exhibit superior performance in other funds they manage that do not use short sales. These findings suggest that managers of short-selling mutual funds are skilled.