Mining the Short Side: Institutional Investors and Stock Market Anomalies
研究了另类共同基金在美国股票空头端利用市场异象进行交易的行为，发现其卖空的高估股票能产生显著负向超额收益，且交易具有预测能力，尤其在信用风险或动态卖空风险高的股票中更明显。
Abstract This article investigates the short-side anomaly trading behavior of alternative mutual funds (AMFs) based on their short positions in U.S. domestic equities. In aggregate, AMFs demonstrate the ability to exploit well-documented stock market anomalies on the short side, and the overpriced stocks sold short by AMFs generate significant negative alpha. Further, AMFs’ short-side trades exhibit significant return predictability, which can at least partially derive from their ability to process public information on firm and anomaly characteristics. Finally, AMFs’ short-side anomaly-based trading activity and profitability appear to be more pronounced among the stocks with higher credit risk or dynamic short-selling risk.