Common short selling and excess comovement: Evidence from a sample of LSE stocks
| dc.contributor.author | Valerio Geraci, Marco | |
| dc.contributor.author | Gnabo, Jean-Yves | |
| dc.contributor.author | Veredas, David | |
| dc.date.accessioned | 2023-08-08T04:23:07Z | |
| dc.date.available | 2023-08-08T04:23:07Z | |
| dc.date.issued | 2023 | en_US |
| dc.identifier.issn | 1386-4181 | |
| dc.identifier.doi | 10.1016/j.finmar.2023.100833 | |
| dc.identifier.uri | http://hdl.handle.net/20.500.12127/7251 | |
| dc.description | We use new data on short positions disclosed to the Financial Conduct Authority to construct a measure of common short selling. The measure is intuitive and captures the strategies of short sellers taking net negative positions against many stocks. For our sample, we find that common short selling is positively and significantly related with future excess comovement. We explore two hypotheses that could drive this relationship: price pressure and the informative trading. We show that these results can be used to obtain diversification benefits. | en_US |
| dc.description.abstract | For a sample of 356 LSE stocks from the period 2013–2019, we find that common short sold capital is positively and significantly associated with one-month ahead four-factor residual return correlation, controlling for many pair characteristics, including similarities in size, book-to-market, and momentum. The relation weakens with stock illiquidity, whereas it strengthens when short positions originate from informed agents, such as hedge funds, active investors, and short sellers with high past performance. This supports our hypothesis that the relation is driven by information, not price pressure. We show that these results can be used to obtain diversification benefits. | en_US |
| dc.language.iso | en | en_US |
| dc.publisher | Elsevier | en_US |
| dc.subject | Short Selling | en_US |
| dc.subject | Comovement | en_US |
| dc.subject | Hedge Funds | en_US |
| dc.title | Common short selling and excess comovement: Evidence from a sample of LSE stocks | en_US |
| dc.identifier.journal | Journal of Financial Markets | en_US |
| dc.contributor.department | Economics and Research Department, National Bank of Belgium, 14 Boulevard de Berlaimont, 1000, Brussels, Belgium | en_US |
| dc.contributor.department | CeReFiM and NaXys, University of Namur, Belgium | en_US |
| dc.identifier.eissn | 1878-576X | |
| vlerick.knowledgedomain | Accounting & Finance | en_US |
| vlerick.typearticle | Journal article with impact factor | en_US |
| vlerick.vlerickdepartment | AF | en_US |
| dc.identifier.vperid | 181874 | en_US |
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