Intradaily Price-Volume Adjustments of NYSE Stocks to Unexpected Earnings.

The speed and path of adjustment in stocks to the degree of earnings surprise in their quarterly announcements is studied using price-volume transactions data. A differential price adjustment process was observed, with stocks having large, positive earnings surprises experiencing a faster adjustment compared to those stocks with negative earnings surprises. Volume, transaction frequency, and size were found to be directly related to the absolute degree of surprise, but very favorable earnings surprise stocks experienced initially a large number of smaller trades while stocks with large unfavorable earnings surprises had relatively fewer transactions but higher volume per trade. Copyright 1988 by American Finance Association.

Texas Business Review, April 1977

Inflation and Consumer Financial Wealth; Investing in the Texas Over-the-Counter Securities Market; Texas ConstructionBureau of Business Researc

Dissecting Short-Sale Performance: Evidence from Large Position Disclosures

Short sellers are perceived as informed, sophisticated investors. Yet little is known about their actual performance and trading strategies. Using a novel, hand-collected data set of daily position disclosures in Europe, we identify the entry, change, and exit dates of large short-sale positions for a wide cross section of stocks and investors. We find that hedge funds, the predominant investor group, generate an annualized Fama and French (1993) risk-adjusted return of about 5.5%, outperforming other investors. Evidence indicates that hedge funds act as arbitrageurs, generating their returns by trading on the mispricing-related factors, e.g. momentum, betting-against-beta, and quality-minus-junk. In the cross section of hedge funds, local, diversified, and active funds outperform their counterparts. On the position level, we document a first-mover advantage. The profitability of short sales also varies significantly with investors' holding period, location, and industry experience