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Common Short Selling and Excess Comovement
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Authors
Geraci, M V.
Gnabo, J-V.
Veredas, D.
Abstract
We show that common short sold capital can explain future six-factor excess return correlation one month ahead, controlling for many pair characteristics, including similarities in size, book-to-market, and momentum. We explore the possible mechanisms tha
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Keywords
short selling, comovement, hedge funds
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Faculty of Economics & Cambridge-INET Institute, University of Cambridge