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Momentum in Short Selling : The Two Faces of Short Sellers

Urbanke, Kai - 2020

the Jegadeesh and Titman (1993) momentum factor strategy. Furthermore, on average, shares show signiﬁcant negative … contrarians but follow the trend. Distinguishing between events of short sellers with positive or negative momentum loading … reveals even stronger evidence for trend following of momentum short sellers. However, short sellers with a negative momentum …

Persistent link: https://www.econbiz.de/10012839995

Insider sales vs. short selling : negative information trading in Australia

Hodgson, Allan; Lim, Wei Da; Mi, Lin - In: Pacific-Basin finance journal 48 (2018), pp. 72-83

Persistent link: https://www.econbiz.de/10012028028

Impact of short selling restrictions on informed momentum trading : Australian evidence

Gao, Yang; Leung, Henry - In: Pacific-Basin finance journal 45 (2017), pp. 103-115

Persistent link: https://www.econbiz.de/10011800846

The trend in short selling and the cross section of stock returns

Zhu, Zhaobo; Duan, Xinrui; Tu, Jun - In: Annals of economics and finance 20 (2019) 2, pp. 565-586

Persistent link: https://www.econbiz.de/10012175619

Short-sale constraints and stock returns : a systematic review

Khan, Mostafa Saidur Rahim - In: Journal of capital markets studies 8 (2024) 1, pp. 43-66

Purpose This study delves into the nuanced implications of short-sale constraints on stock prices within the context of stock market efficiency. While existing research has explored this relationship, inconsistencies persist in their findings. The purpose of this study is to conduct a...

Persistent link: https://www.econbiz.de/10015047535

Down but not out : plenty of returns available for shorted down stocks

Galariotis, Emilios; Li, Bob; Chai, Daniel - In: International review of financial analysis 63 (2019), pp. 296-306

Persistent link: https://www.econbiz.de/10012207470

Margin requirements and evolutionary asset pricing

Sokko, Anastasiia; Schenk-Hoppé, Klaus Reiner - In: Essays in behavioural financial markets and asset pricing, (pp. 3-47). 2018

Persistent link: https://www.econbiz.de/10011876028

Margin requirements and evolutionary asset pricing

Sokko, Anastasiia; Schenk-Hoppé, Klaus Reiner - 2017

We introduce an evolutionary equilibrium asset pricing model with heterogeneous agents who can either act as brokers or hedge funds. Hedge funds can trade on margin, taking short or (leveraged) long positions in the assets. Brokers provide asset loans and credit to margin traders. In any...

Persistent link: https://www.econbiz.de/10011762225

Passive ownership and short selling

Von Beschwitz, Bastian; Honkanen, Pekka; Schmidt, Daniel - 2022

Persistent link: https://www.econbiz.de/10014286755

A rational foundation for trend-chasing and contrarian trades with implications for momentum anomalies

Kedar-Levy, Haim - In: The quarterly journal of finance 3 (2013) 1, pp. 13500031-135000321

Persistent link: https://www.econbiz.de/10010198273

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