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SHORT SELLING AND MISPRICINGS WHEN FUNDAMENTALS ARE KNOWN: EVIDENCE FROM NYSE‐TRADED CLOSED‐END FUNDS
Authors:Sean Masaki Flynn
Affiliation:Scripps College
Abstract:The larger a closed‐end fund's premium over its portfolio value, the more intensely it is sold short. This behavior should reduce mispricings. However, short selling affects neither the observed rate at which premia revert to fundamental values nor the rate of return on a fund's shares. This apparent contradiction can be explained as follows: short selling does reduce prices, but the effect is impounded into prices by the time short positions are tabulated by the NYSE each month. Consequently, the monthly short selling data do not predict future price movements.
Keywords:G12  G14
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