G2TT
来源类型Discussion paper
规范类型论文
来源IDDP16319
DP16319 Best Short
Pasquale Della Corte; Robert Kosowski; Nikolaos Rapanos
发表日期2021-07-02
出版年2021
语种英语
摘要We infer investors' expectations about future stock returns through a measure of short conviction that exploits net short positions disclosed at the investor-stock level for European stock markets. A strategy that sells high-conviction stocks and buys low-conviction stocks, named Best Short, generates a risk-adjusted excess return that is larger than 8% per annum and differs from the performance of traditional strategies based on aggregate short interest. Its profitability, moreover, cannot be explained by transaction costs, stock characteristics, frictions in the securities lending market, leverage constraints, and measures of price inefficiency.
主题Financial Economics
关键词Disclosure Regulation Short-sale performance Anomalies Hedge funds
URLhttps://cepr.org/publications/dp16319
来源智库Centre for Economic Policy Research (United Kingdom)
资源类型智库出版物
条目标识符http://119.78.100.153/handle/2XGU8XDN/545284
推荐引用方式
GB/T 7714
Pasquale Della Corte,Robert Kosowski,Nikolaos Rapanos. DP16319 Best Short. 2021.
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