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Journal of Banking and Finance


Short-selling;Short cover;individual investor;Emerging market;Korean stock market


  1. Shu-Feng Wang
  2. Kuan-Hui Lee
  3. Min-Cheol Woo


    2. BANKING


      We use a proprietary trade- and account-level dataset of short sales to
      investigate the profitability of individual investors short-selling in
      the Korean stock market from August 1, 2007, to May 31, 2010. Using
      actual data on short-covering transactions, we find that the average
      profit is 26,810 Korean won (roughly USD 24.4) per trade per hour, and
      about 44% of shorted trades are covered within a day. We also find that
      the profitability of short-selling decreases as the hours-to-cover
      increases. Account-level analyses show that investors who sell short
      more firms make higher profits than those who sell short fewer firms and
      that the profitability of short-selling is persistent. We attribute the
      profitability to short-sellers’ ability to exploit short-run price
      reversals and information processing skills.


      Vol 79, Tahun 2017


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