The Cost of Shorting, Asymmetric Performance Reaction and the Price Response to Economic Shocks
作者： Jose Renato Haas Ornelas , Pablo Jose Campos de Carvalho
DOI: 10.2139/SSRN.2547666
关键词:
摘要: We propose and test a model of asymmetric performance-based arbitrage. While short arbitrageurs are forced to reduce their positions after negative return, positive returns have no immediate effect on managed funds. This price reaction is bounded by short-selling costs, because while selling activity may generate overshooting, transaction costs keep it limited. paper empirically tests predictions using Brazilian data. show that there an overshooting good news for highly shorted stocks, but offset trading shorting indicating bans be unnecessary smooth market conditions. also find support the behavioral feature our suggests behave asymmetrically types news.
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