In this paper, we examine bear raids by short sellers, which are defined as consecutive days of abnormal short-selling activity in a particular stock. Interestingly, we find that raids by short sellers occur after periods of positive returns instead of periods of negative returns suggesting that...

Boehmer, Jones, and Zhang (2008a JF) show that informed short sellers do not stealth trade and hypothesize that because short sellers face execution uncertainty caused by the uptick rule, informed short sellers cannot afford to break up their larger trades into smaller trades in order to hide...

Prior research argues that pessimistic traders can use options as substitutes for short sales particularly when stocks are expensive to short. We test this hypothesis and find that (i) put-call ratios are inversely related, instead of directly related, to proxies for short-sale constraints and...

In this study we test whether the introduction of options decreases market friction using the Hou and Moskowitz (2006) measure of price delay. Consistent with theory in Ross (1976), we find that the availability of options increases the flow of market-wide information into stock prices. Indeed,...

This study examines shorting activity, returns, and failures-to-deliver at the daily level. We find evidence that failures occur after periods of positive returns, which is consistent with the idea that short sellers are contrarian traders (Diether et al., 2009). We also find that the direct...

We examine REIT short sale transactions and show REITs are shorted less frequently than non-REITs. Results also show short sellers are less able to predict negative future returns for REITs, relative to non-REITs, which is consistent with increased pricing efficiency for REITs and suggests REIT...

Recent allegations of abusive practices by class-action lawsuit filing firms and short sellers have been brought to the attention of the SEC. These allegations claim that lawyers purposely leak information about filing dates to short sellers and other investors. We investigate these claims by...

Research argues that short sellers are informed investors as current short selling relates inversely with future returns. However, empirical results have yet to determine whether short sellers trade on private information before, say, an upcoming negative new. This paper takes a step in this...

Diether, Lee, and Werner (2009) show that, in general, short sellers are contrarian in both contemporaneous and past returns and able to impressively predict future returns, this study examines these trading characteristics during both the trading day and the after-hours period. Interestingly,...

We examine the relation between the monthly reported short interest (the number of shares that are in outstanding short positions) and short selling. We aggregate transaction level short selling into monthly short turnover (a measure of the shorting flow) and find that short turnover and short...