How are Shorts Informed? Short Sellers, News, and Information Processing

摘要: We find that a substantial portion of short sellers’ trading advantage comes from their ability to analyze publicly available information. Using database sales combined with news releases, we show the well-documented negative relation between and future returns is twice as large on days four times news. Further, most informed are not market makers but rather clients, only weak evidence sellers anticipate events. Overall, suggests public provides valuable opportunities for who skilled information processors.