Short selling after hours

Abstract Diether, Lee, and Werner (2009) show that, in general, short sellers are contrarian in both contemporaneous and past returns and able to impressively predict future returns. This study examines these trading characteristics during both the trading day and the after-hours period. Interestingly, we find short sellers are less contrarian during the after-hours period. However, the return predictability contained in short sales is nearly five times less during after-hours trading than during regular trading hours. These results indicate that higher levels of information asymmetry and price discovery during the after-hours period ( Barclay and Hendershott, 2003 , Barclay and Hendershott, 2004 ) are not driven by the trading of after-hour short sellers.