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Examining Predictable Short-covering Behaviour in Predatory Trading

Lookup NU author(s): Dr Lana LiuORCiD

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Abstract

The literature suggests that short-sellers mitigate the risk of large losses through the use of stop losses. This predictable behaviour exposes short-sellers to predatory trading risk. This paper examines a strategy of predatory trading against short-sellers and finds that positive abnormal returns can be earned by anticipating such short-covering.

Publication metadata

Author(s): Liu LYJ, Huang XY, Clunie J

Editor(s): Jonathan Batten, Gady Jacoby, Changhong Li, Zhenyu Wu

Publication type: Conference Proceedings (inc. Abstract)

Publication status: Published

Conference Name: Cross Country Issues on Credit, Banking, Asset Pricing, and Market Liquidity

Year of Conference: 2016

Online publication date: 23/06/2016

Acceptance date: 23/06/2016

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