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Article

Are Short Sellers Superior Traders?

Leslie Boni and Michael Rosen
The Journal of Trading Winter 2011, 6 (1) 38-45; DOI: https://doi.org/10.3905/jot.2011.6.1.038
Leslie Boni
is an associate professor at the University of New Mexico in Albuquerque, NM.
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  • For correspondence: leslie.boni@unm.edu
Michael Rosen
is a managing partner at Michael Rosen & Associates in Los Angeles, CA.
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  • For correspondence: mrosensi@aol.com
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Abstract

Using two practitioner measures of intraday trading skill, Boni and Rosen show that short sellers are little or no better than the average trader. Using the first measure, the authors find that short sellers beat the day’s volume-weighted average price by 4 basis points, or about 1.3 cents per share, on average. Using the second measure, the Kissell and Glantz [2003] relative performance measure, they find that short sellers are not measurably better than average. With the exception of short sales of stocks on the SEC’s September 18, 2008, Emergency Order ban list, the authors’ findings are robust for the different short-sale regulatory regimes that existed during the third quarter of 2008.

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The Journal of Trading: 6 (1)
The Journal of Trading
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Are Short Sellers Superior Traders?
Leslie Boni, Michael Rosen
The Journal of Trading Dec 2010, 6 (1) 38-45; DOI: 10.3905/jot.2011.6.1.038

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Are Short Sellers Superior Traders?
Leslie Boni, Michael Rosen
The Journal of Trading Dec 2010, 6 (1) 38-45; DOI: 10.3905/jot.2011.6.1.038
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