Out of Sync: Dispersed Short Selling and the Correction of Mispricing
研究发现卖空者开始卖空的时间点高度分散，这种分散反映了同步风险，即卖空者不确定他人何时行动，导致股票高估更严重且纠正更慢。
Abstract How synchronized are short sellers? We examine a unique data set on the distribution of profits across a stock’s short sellers and find evidence of substantial dispersion in the initiation of their positions. Consistent with this dispersion reflecting “synchronization risk,” that is, uncertainty among short sellers about when others will short sell, more dispersed short selling signals i) greater stock overpricing and ii) longer delays in overpricing correction. These effects are prevalent even among stocks facing low short-selling costs or other explicit constraints. Overall, our findings provide novel cross-sectional evidence of synchronization problems among short sellers and their pricing implications.