Short-Sale Strategies and Return Predictability

By Karl B. Diether, Kuan-Hui Lee, Ingrid M. Werner. 2009

720 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/c83fe3b71022be446fbe548b7ccfc18ce1bb4354

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Citations in the corpus

Short-Selling, Margin-Trading, and Price Efficiency: Evidence from the Chinese Market (2014, methodology): “from January 1, 2005 to August 6, 2007, released in the implementation of a regulated SHO pilot scheme (Diether et al., 2009).”
Short Interest and Aggregate Stock Returns (2016, background): “The literature on firm-level short selling detects a significant relation between cross-sectional variation in short interest and future returns (e.g., Senchack and Starks, 1993; Desai, Ramesh, Thiagarajan, and Balachandran, 2002; Asquith, Pathak, and Ritter, 2005; Diether, Lee, and Werner, 2009).”
Ownership Structure , Limits to Arbitrage and Stock Returns: Evidence from Equity Lending Markets (2016, positive): “Diether et al. (2009) show that short selling increases after higher returns in the previous week.”
How Smart are the Smart Guys? A Unique View from Hedge Fund Stock Holdings (2009, neutral): “Boehmer, Jones, and Zhang (2008) find that large short-sale orders in NYSE securities are extremely profitable, whereas Diether, Lee, and Werner (2008) find that small short-sale trades in NASDAQ and NYSE listed stocks trading on NASDAQ are predictive of future returns, but large short-sale trades…”
Do Investment Banks Matter for M&A Returns? (2011, positive): “These filters are similar in spirit to Diether, Lee, and Werner (2009) who use an initial $1 and zero volume screen.”
Cash Flow Duration and the Term Structure of Equity Returns (2018, neutral): “Diether, Lee, and Werner (2009), however, show that short selling activity is higher for growth stocks.”
The Good News in Short Interest (2010, methodology): “Using data from 2005, Diether, Lee, and Werner (2009) report that short sales represent 32% of Nasdaq volume.”
Short interest and stock price crash risk (2015, background): “For example, Lambert (1984), Dye (1988), and Trueman and Titman (1988) show that managers will rationally try to reduce investor’s estimates of the volatility of the firm’s underlying earnings process by income smoothing. Kim et al. (2011b) contend that managers of firms with high levels of risk-tak”
How are Shorts Informed? Short Sellers, News, and Information Processing (2012, neutral): “…shorted stocks significantly underperform lightly shorted stocks, especially stocks heavily shorted by non-program institutional traders; and Diether, Lee, and Werner (2008) show that not only do prices follow short selling, but short selling also follows prices, that is, short sellers tend…”
Do Short Sellers Front-Run Insider Sales? (2013, positive): “A number of studies suggest that short sellers are informed traders, by showing that short sales predict returns (Desai et al. 2002; Asquith et al. 2005; Boehmer et al. 2008; Diether et al. 2009).”
Short Selling and Earnings Management: A Controlled Experiment (2016, neutral): “First, the exemption from short-sale price tests decreased the cost of short selling in the pilot stocks relative to the nonpilot stocks (SEC (2007), Diether, Lee, and Werner (2009)).”
Informed trading before analyst downgrades: Evidence from short sellers (2010, positive): “Diether, Lee, and Werner (2009) examine data produced by the SEC’s experimental project known as Regulation SHO and report that increased short-sale transactions predict negative abnormal returns in at least the short run.”