Oxford-Man Institute Quantitative Finance Seminar

Oxford-Man Institute Quantitative Finance Seminar

Oxford-Man institute welcomes Prof. Robert Kosowski - Imperial College, London & OMI Associate to give a talk as part of the new Quantitative Finance seminar series.


We use publicly disclosed short positions for EU stock markets from 2012 to 2018 to show that short positions for which hedge funds have high conviction ex-ante outperform other short positions that account for a smaller proportion of the funds' short positions.  The six-factor alpha of this long-short portfolio is 7 percent per year and economically and statistically significant. We find that the alpha of the average short position in our data set is not statistically significant after adjusting for momentum, quality, and betting-against-beta factors.  Our results inform the public policy debate about the pros and cons of the public disclosure of short positions akin to Frank, Poterba, Shackelford, and Shoven (2004) for the public disclosure of long positions.


Robert Kosowski (Imperial College, London) 

Wednesday, February 6, 2019 - 13:30
to 14:30

Register Online