Listagem FGV EESP - Textos para Discussão / Working Paper Series por Título "The short-selling skill of institutions and individuals: a market-wide and out-of-sample analysis"

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The short-selling skill of institutions and individuals: a market-wide and out-of-sample analysis

Chague, Fernando Daniel; Bueno, Rodrigo de Losso da Silveira; Giovannetti, Bruno Cara
2018-02

Using market-wide data from the Brazilian stock lending market, we find strong evidence of short-selling skill for some institutions and individuals. Skilled short-sellers present out-of-sample performance persistence, ...