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- W3121412073 abstract "Firms with low ratios of fundamentals (such as earnings and book values) to market values are known to have systematically lower future stock returns. We document that short-sellers position themselves in the stock of such firms, and then cover their positions as the ratios revert to normal levels. We also show that short-sellers avoid firms where the transaction costs of short-selling are high and where the low ratios are due to temporarily low fundamentals, rather than temporarily high prices. Our evidence suggest that short-sellers use information in these ratios about either (i) temporary mispricing, or (ii) unknown risk factors, to boost their investment returns." @default.
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- W3121412073 date "1999-01-01" @default.
- W3121412073 modified "2023-10-01" @default.
- W3121412073 title "Short-sellers, fundamental analysis and stock returns *" @default.
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