激进卖空者的业绩持续性

Persistence of Activist Short-Sellers Performance

本文研究了激进卖空者在识别做空目标时是否表现出持续的横截面业绩差异,以及他们的业绩持续性是否随着从业时间的变化而变化。利用数据提供商跟踪的激进卖空者样本,本文发现,当使用目标公司股票收益率作为业绩衡量指标时,未能发现激进卖空者业绩具有持续性的证据,但如果激进卖空者过往选择的做空目标中有较高比例的公司退市,则当前做空目标在未来经历退市的可能性更大。投资者意识到了这一业绩的持续性,并且对历史做空目标中有更多退市记录的激进卖空者发起的做空行动反应更为强烈。此外,本文发现,识别做空目标的业绩持续性在激进卖空者从业生涯早期更高,但随着他们发起的做空行动增多,这种业绩的持续性会下降。这些证据与激进卖空者在职业生涯初期面临更大的声誉激励一致,并支持了Benabou and Laroque(1992)的动态声誉模型。

In this study,we examine persistence in the performance of activist short sellers in identifying firms to short.In contrast to prior work on mutual funds and security analysts,we first document that the average market-adjusted return of an activist's past targets does not predict the return of his/her current campaign target.Rather,we find evidence that the activist's past track record in identifying firms that delist predicts the likelihood that the target of the current campaign will delist.This finding holds even in a subsample of activists that survive.The evidence suggests that superior activist short sellers possess the consistent skill/ability to identify firms that delist,despite the lack of consistency in predicting targets cumulative returns in pre-specified return accumulation windows.These seemingly conflicting results are nonetheless consistent with anecdotes that it is very difficult to consistently time shorts correctly due to the uncertainty when prices will incorporate the bad news.Consistent with persistence in the delisting measure of campaign performance,we find that investors react more negatively on the publication date to campaigns initiated by activists with a greater percentage of past targets that delist.We find that this more negative reaction is concentrated on the day the campaign is initiated;the market-adjusted return in the week or month after the publication date is not associated with the activist's past performance.Further,we provide preliminary evidence that there is a greater increase in the aggregate short interest before campaigns announced by activists with a superior record in identifying firms that delist.This result suggests the short side as a whole(activist short sellers,their clients,and/or friends)is able to capitalize off superior activists greater market reputation.This ability in turn provides an incentive for activist short sellers to maintain their reputation for superior performance.Finally,we investigate whether performance persistence varies with activists tenure.We first document that the likelihood that an activist leaves the profession is more sensitive to past performance in the early years of his/her career,providing greater incentives for activists to perform well initially.Consistent with this result,we find that performance persistence is higher in the early years and declines as tenure increases,even after we correct for survivorship bias.Despite this decline in persistence with tenure,we do not observe that the market reaction to past performance varies with tenure.The evidence is consistent with activists establishing a reputation when they first enter the profession,and either working less or becoming more opportunistic once experienced,e.g.,once their reputations reach very high levels as in Benabou and Laroque(1992).Overall,the paper sheds light on the behavior of activist short sellers and has broader implications in understanding the new form of information intermediary in which investors act as intermediaries for each other.