Short selling is measured in the literature as both constraint (e.g., lending fees) and activity (e.g., trades). We show that these two measures capture separate effects, which we characterize into two different strategies. The first strategy, “short trading,” has minimal constraints, weekly scale return predictability and average risk. The second strategy, “short investing,” has high constraints, multi-month return predictability and higher risk. Moreover, each strategy incorporates different types of information. Short trading includes short-lived information while short investing includes more long-lived, fundamental information. This diversity in short sellers has implications for both theoretical and empirical research.

卖空在文献中被作为约束（例如借贷费用）和活动（例如交易）来衡量。我们表明这两种措施捕获了单独的影响，我们将其表征为两种不同的策略。第一个策略是“做空交易”，它具有最小的约束，每周的规模收益可预测性和平均风险。第二种策略是“短期投资”，它具有较高的约束条件，多个月的收益可预测性和较高的风险。此外，每种策略都包含不同类型的信息。空头交易包括短期信息，而短线投资则包括更多长期的基本信息。卖空者的这种多样性对理论和实证研究都有影响。