Short Selling Around the 52-Week and Historical Highs

61 Pages Posted: 3 Apr 2016 Last revised: 31 May 2018

See all articles by Eunju Lee

Eunju Lee

University of Massachusetts Lowell

Natalia Scotto Piqueira

University of Houston - C.T. Bauer College of Business

Date Written: 2016

Abstract

Although the distance of a stock price to its past price high does not provide fundamental-related information, it plays an important role of anchoring investors' expectations about the performance of stocks. Using a stock's 52-week and historical highs, we examine the impact of the nearness to these price highs on short sellers’ trading behavior in the U.S. equity market. We find that short selling is negatively associated with the nearness of the price to the 52-week high, while it is positively associated with the nearness to the historical high. This suggests that short sellers exploit other investors’ behavioral biases.

Keywords: Short selling, anchoring bias, 52-week high, historical high, overreaction, underreaction

JEL Classification: G12, G14

Suggested Citation

Lee, Eunju and Piqueira, Natalia Scotto, Short Selling Around the 52-Week and Historical Highs (2016). Journal of Financial Markets 33, 75-101, 2017, Available at SSRN: https://ssrn.com/abstract=2757943

Eunju Lee (Contact Author)

University of Massachusetts Lowell ( email )

1 University Ave
Lowell, MA 01854
United States
978-934-2520 (Phone)

Natalia Scotto Piqueira

University of Houston - C.T. Bauer College of Business ( email )

Houston, TX 77204-6021
United States

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