In this paper, we decompose return premia into day and night components based on a sample of more than 48,000 stocks from 35 countries including the United States. Day returns are higher than night returns, but have similar volatility. Payoffs to value- or equally-weighted investment strategies...

While theoretical models strongly suggest that short-sales are mainly driven by private information, recent empirical evidence of has been rather mixed. This paper contributes to the discussion by looking at various potential motives to sell short and compares these with regular buys and sales...

We examine the differences between short sales and "regular" trades with regard to the nature of their information content. First, we find that short-sales impound private information that is significantly longer-lived than that in regular trades, and accordingly find that short-sales play an...