Abstract   

   
    We study short sellers’ trading on anomaly strategies. Specifically, we examine to what     
    degree short sellers are involved in various anomaly strategies and how it affects their
    profitability. Short sellers’ involvement in an anomaly strategy is inferred via changes in
    short interest when  a security falls into the “short leg” of the corresponding anomaly.    
    Our evidence suggests that short sellers trade on anomalies. At the same time, there are
    striking differences in popularity as preference is given to strategies with high Sharpe       
    Ratios and low correlations with other anomaly strategies. Further, we provide evidence
    that anomaly-based short selling contributes substantially to short sellers’ profitability.