Retail Short Selling and Stock Prices
利用数百万笔零售投资者交易数据，发现零售卖空能预测负的股票收益，模拟组合年化风险调整收益达9%，且预测能力持续一年，不被机构卖空所覆盖。
Using proprietary data on millions of trades by retail investors, we provide the first large-scale evidence that retail short selling predicts negative stock returns. A portfolio that mimics weekly retail shorting earns an annualized risk-adjusted return of 9%. The predictive ability of retail short selling lasts for one year and is not subsumed by institutional short selling. In contrast to institutional shorting, retail shorting best predicts returns in small stocks and those that are heavily bought by other retail investors. Our findings are consistent with retail short sellers having unique insights into the retail investor community and small firms’ fundamentals.