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,...

Much of traditional asset pricing theory rests on the assumption of normality in the distribution of stock returns. A growing body of research suggests that skewness in the return distributions can affect asset prices. This paper attempts to empirically identify factors that influence return...

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...

We provide evidence that some profitable insider stock selling is motivated by public information. At firms that disclose having concentrated sales relationships, insiders appear to sell their own stock profitably based on public information about their principal customers. Supplier insiders...

We explore similarities in insider trading as a proxy for information flows. We observe that corporate insiders cluster trades around those of other insiders at their firm, especially around trades of insiders with whom they work closely. Clustering is greater when informational advantages are...