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,...

Theory in Admati and Pfleiderer (1988) predicts that informed traders will concentrate their trading at the beginning and end of the trading day when markets are thick. Motivated by these predictions, we examine the trading behavior of informed short sellers during the intraday period. While our...