Short Covering Trades

摘要: Short sellers are known to have private information about security prices. Empirical evidence of short selling, however, is based on only half sellers’ trading activity; specifically, the opening position. Using disclosed large position data from Japanese stock market, we provide first detailed covering trades and find a positive reaction that partially reverses. While these results consistent with substantial transaction costs for closing positions, they also reveal some privately informed future events timing ability in positions.