발표주제_Short Sellers’ Trading on Anomalies
일 시 : 2014년 6월 13일(금) 오후 5:00~6:30
장 소 : 자본시장연구원 대회의실(여의도 금융투자협회 19층)
발표자 : 황병현(Cornell Univ. and Korea Univ.)
사회자 : 엄영호 교수(연세대학교)
토론자 : 이관휘 교수(서울대학교)
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.
