Contrary to the hypothesis that informed short sellers increase their positions prior to earnings announcements, we find that short activity declines in the pre-announcement period compared with activity in non-announcement time. This statistically significant, but economically modest, decline...

Contrary to the hypothesis that informed short sellers increase their positions prior to earnings announcements, we find that short activity declines in the pre-announcement period compared with activity in non-announcement time. This statistically significant, but economically modest, decline...

This paper shows that future risk-adjusted returns relate inversely with current short interest, current skewness, and the interaction between current short interest and current skewness. However, these relations vanish during the NASDAQ bubble, suggesting that synchronization risk (Abreu and...