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

Engelberg, Joseph; Reed, Adam V.; Ringgenberg, Matthew C.

doi:10.2139/ssrn.1570451

Cited by 86 publications

(111 citation statements)

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“…Delays in processing information for purposes of investment decisions are also in evidence from "price momentum" following fundamental news, as documented empirically by Chan (2003), Engelberg, Reed, and Ringgenberg (2012), Dellavigna and Pollet (2009), and Cohen and Lou (2012), among others. Given that most financial intermediaries are themselves likely to receive and process fundamental news quickly relative to the time for price reactions documented in this literature, one presumes that there are limits on the average speed with which they can attract potential investors to such investment opportunities.…”

Section: Discussion and Concluding Remarksmentioning

confidence: 93%

Capital Mobility and Asset Pricing

2012

Econometrica

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We present a model for the equilibrium movement of capital between asset markets that are distinguished only by the levels of capital invested in each. Investment in that market with the greatest amount of capital earns the lowest risk premium. Intermediaries optimally trade off the costs of intermediation against fees that depend on the gain they can offer to investors for moving their capital to the market with the higher mean return. The bargaining power of an investor depends on potential access to alternative intermediaries. In equilibrium, the speeds of adjustment of mean returns and of capital between the two markets are increasing in the degree to which capital is imbalanced between the two markets, and can be reduced by competition among intermediaries.

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Section: Discussion and Concluding Remarksmentioning

confidence: 93%

Capital Mobility and Asset Pricing

2012

Econometrica

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“…In equity markets, short sales correctly predict negative returns (Aitken, Frino, McCorry, and Swan 1998;Boehmer, Jones, and Zhang 2008;Diether, Lee, and Werner 2009;Cohen, Diether, and Malloy 2007), aid price discovery (Boehmer and Wu 2013), and exploit profitable opportunities provided by downgrade announcements (Christophe, Ferri, and Hsieh 2010). Short sellers do not anticipate news, but have superior ability to process news (Engelberg, Reed, and Ringgenberg 2012).…”

Section: The Short Selling Literaturementioning

confidence: 99%

Unconventional monetary policy and the behavior of shorts

McInish¹,

Neely²,

Planchon³

2017

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In November 2008, the Federal Reserve announced the first of a series of unconventional monetary policies, which would include asset purchases and forward guidance, to reduce longterm interest rates. We investigate the behavior of shorts, considered sophisticated investors, before and after FOMC announcements not fully anticipated in spot bond markets. Short interest in Treasury and agency securities declined prior to expansionary announcements, indicating shorts anticipated these surprises, and declined further after these announcements. The failure of shorts to reinstitute their positions after the last purchase announcement confirms that the Fed convinced sophisticated investors that interest rates would remain low. Unconventional monetary policy and long yields during QE1: Learning from the shorts

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“…Empirical evidence even suggests that low skill investors underweight information that is hard to process (e.g., Engelberg, Reed, and Ringgenberg (2012), Hirshleifer, Hsu, and Li (2013)). However, in the case of venture capitalists, Gompers et al (2016) document that qualitative factors are more important for investment decisions than the project's valuation.…”

Section: "The Key To Investing Is Not Assessing How Much An Industry mentioning

confidence: 99%

Market Power in the Portfolio: Product Market Competition and Mutual Fund Performance

Jaspersen

2016

SSRN Journal

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

Cited by 86 publications

References 0 publications

Capital Mobility and Asset Pricing

Capital Mobility and Asset Pricing

Unconventional monetary policy and the behavior of shorts

Market Power in the Portfolio: Product Market Competition and Mutual Fund Performance

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