Arif, Salman; Ben-Rephael, Azi; Lee, Charles M. C. - Graduate School of Business, Stanford University - 2014
Using high resolution data, we show that short-sellers (SSs) systematically profit from mutual fund (MF) flows. At the daily level, SSs trade strongly in the opposite direction to MFs. This negative relation is associated with the expected component of MF flows (based on prior days' trading), as...