AgPa #51: Short Sellers vs. Firms

Go Down Fighting: Short Sellers vs. Firms (2012)
Owen A. Lamont
The Review of Asset Pricing Studies 2(1), URL

I like controversial and (in my opinion) misunderstood topics and this week’s AGNOSTIC Paper examines the next big one: short selling. The paper is unfortunately already more than 10 years old, but it is still a go-to reference for short selling. Apart from that, the fights between firms and short sellers are also quite entertaining – at least from an outsider’s perspective…

  • Short-seller-fighting firms tend to massively underperform
  • The results are robust after controlling for the major factors

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AgPa #27: Forecasting DAX Index Changes

Forecasting index changes in the German DAX family (2020)
Friedrich‑Carl Franz
Journal of Asset Management 21, 135-153, URL

Is it possible to forecast and exploit changes in the composition of equity indices? This is the central question of this week’s AGNOSTIC Paper and the author introduces a quite interesting trading strategy for the German DAX family indices…

  • Index changes in the DAX family are predictable
  • Buying index additions and shorting deletions generated strong risk-adjusted returns

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