Posts Tagged ‘short selling


Finanzas 101: FAQ, Short Selling + CDS

En el sitio de la Unión Europea, hay un accesible FAQ sobre la regulación sobre Short Selling y Credit Default Swaps.

¿Sesgos + momentum?, maybe.

Personalmente me quedo con la tabla comparativa -cerca del final- entre la regulacion del Short Selling en USA, EU y Hong Kong.



Paper: Short-Selling y Calificación de Riesgo

Do Equity Short Sellers Anticipate Bond Rating Downgrades?

Short selling increases prior to credit rating downgrades. In the month preceding a credit rating downgrade, short interest is 40% higher than one year prior, and short selling returns to normal levels following a downgrade. Short interest is higher for downgrades with higher negative equity announcement returns and for more severe downgrades (e.g., to speculative grade). The evidence indicates informed trading in pre-downgrade short selling, but we find little evidence of information leakage. Abnormal returns following downgrades also diminish when short selling is higher prior to the downgrade, indicating short selling aids in price discovery.

Link al Paper


Q&A: nuevas reglas de short selling

MarketBeat -blog del WSJ- tiene un post muy informativo, donde explica de que tratan las nuevas pautas de la SEC sobre short selling.


Q: Ok, so what’s different about the new uptick rule versus the old uptick rule.

A: Under the old rule, you could short sell at a price above the last trade price, or after the last price was higher than the previous price. Under the new rule, you wouldn’t be able short unless someone was willing to buy it for more than the national best bid. (That is, for a higher price than anyone is currently offering to pay.)


A: That’s only part of it. The second part is “circuit breaker” element.

Q: Oh yeah. What’s that?

A: That part of the rule says that the shorting curbs come in when a stock’s price falls 10% from the previous day’s close.

Q: For how long?

A: For the entire day in which the shares fell below 10 percent and for the following day.



Manifesto sobre shorting

Joe Fahmy en un post, de su blog, expresa interesantes argumentos de porque el no shortea acciones.


4) Limited gains. A $20 stock can theoretically go to $1,000 or higher on the long side. A $20 stock can only make you $20 on the short side and that’s only if the company completely goes out of business! Realistically, the company’s stock will stabilize in the single digits even if the common paper is worthless.

5) In 1999, after CMGI’s stock rose from $1 to $120, a very sharp money manager adamantly convinced me that the stock was going back to $1. Once again, he was dead right with his prediction except for one thing: the stock tripled to $360 before it collapsed back to $1!!! This proves the old stock market adage that: “Just when you think a stock can’t go any higher it usually does, and just when you think it can’t go any lower it usually does.”


Compartido o no, vale la pena leerlo.


Paper: Short Sellers e información

How are Shorts Informed? Short Sellers, News, and Information Processing

We combine a database of short sellers’ trading patterns with a database of news releases to show that short sellers’ trading advantage comes largely from their ability to analyze publicly available information. Specifically, the venerable finding that short sellers’ trades predict future negative returns (e.g., Boehmer, Jones, and Zhang (2008) and Asquith, Pathak and Ritter (2005)) is more than twice as strong in the presence of news stories. We show that the most profitable short sales are not from market makers, but from clients, and we show that these client short sales are particularly profitable in the presence of news. Furthermore, we show that the ratio of short sales to total volume is nearly constant through news periods, and when we do find differences between the timing of short sellers’ trades and the overall market, we find that relative to other types of trading there is a significant increase inshort selling after news stories. We find that short sellers’ ability to predict returns is concentrated in many of the news categories in which short sellers trade relatively late; a finding consistent with the idea that short sellers’ advantage arises from their ability to process publicly available information.

Link al Paper


Deuda Soberana: Tracking the Short Sellers

Asi se llama un trabajo de Data Explorers, de donde sale el siguiente grafico.

Fun & Finance


Fun & Finance Rollover

"It is hard to be finite upon an infinite subject, and all subjects are infinite." Herman Melville

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July 2020



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