Aggregate Short Selling, Commonality, and Stock Market Returns
Author | : Andrew A. Lynch |
Publisher | : |
Total Pages | : |
Release | : 2014 |
ISBN-10 | : OCLC:1308867188 |
ISBN-13 | : |
Rating | : 4/5 ( Downloads) |
Download or read book Aggregate Short Selling, Commonality, and Stock Market Returns written by Andrew A. Lynch and published by . This book was released on 2014 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Using a comprehensive data set of short-sale transactions, we find strong evidence of commonality in daily shorting flows of individual stocks. More importantly, we find that aggregate shorting forecasts market returns. A one standard deviation increase in daily aggregate shorting is associated with a decrease in market excess return by up to 36 bps over the following 10 trading days (9% annualized). In addition, we find modest evidence that short sellers are informed about future aggregate earnings news, macroeconomic news, and investor sentiment. Overall, our results are consistent with short sellers possessing superior short-term market-wide information.