隐形空头：知情的流动性供应

IF 10.4 1区经济学 Q1 BUSINESS, FINANCE

Journal of Financial Economics Pub Date : 2025-08-19 DOI:10.1016/j.jfineco.2025.104155

Amit Goyal , Adam V. Reed , Esad Smajlbegovic , Amar Soebhag

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引用次数: 0

摘要

众所周知，卖空者是知情的，这通常意味着他们要求流动性。我们获得了全面的交易级数据，将日空头量分解为流动性需求和流动性供应成分。与传统观点相反，我们表明，最明智的卖空者实际上是流动性提供者，而不是流动性需求者。它们对新闻日的未来回报和显著的横断面回报异常的交易提供了特别丰富的信息。我们的分析表明，做市和机会主义风险承担不太可能解释这些发现。相反，我们的结果与最近的市场微观结构理论一致，指出了知情交易者提供的战略流动性。

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Stealthy shorts: Informed liquidity supply

Short sellers are widely known to be informed, which would typically suggest that they demand liquidity. We obtain comprehensive transaction-level data to decompose daily short volume into liquidity-demanding and liquidity-supplying components. Contrary to conventional wisdom, we show that the most informed short sellers are actually liquidity suppliers, not liquidity demanders. They are particularly informative about future returns on news days and trade on prominent cross-sectional return anomalies. Our analysis suggests that market making and opportunistic risk-bearing are unlikely to explain these findings. Instead, our results align with recent market microstructure theory, pointing to strategic liquidity provision by informed traders.

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来源期刊

Journal of Financial Economics Multiple-

CiteScore

15.80

自引率

4.50%

发文量

192

审稿时长

37 days

期刊介绍： The Journal of Financial Economics provides a specialized forum for the publication of research in the area of financial economics and the theory of the firm, placing primary emphasis on the highest quality analytical, empirical, and clinical contributions in the following major areas: capital markets, financial institutions, corporate finance, corporate governance, and the economics of organizations.