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Esad Smajlbegovic

Welcome to my academic homepage! I am an Associate Professor of Finance at the Erasmus School of Economics (Finance Group), Erasmus University Rotterdam, and a regular visiting researcher at the Deutsche Bundesbank. My main research interests are in financial markets and empirical asset pricing, with an emphasis on price efficiency, investor behavior, and short selling.

Erasmus University Rotterdam
Erasmus School of Economics - Finance Group
Burgemeester Oudlaan 50, PO Box 1738
3000 DR Rotterdam, The Netherlands

Phone: +31-10-40-81834
Email: smajlbegovic [at] ese.eur.nl

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Research

Publications

Ranking Finance Conferences: An Update (with W. Hou and D. Urban), Journal of Empirical Finance, Volume 84, December 2025, 101652
Abstract: Researchers need to decide on which academic conferences to attend. To inform this decision, we track the publication status of 6,805 research articles presented at 87 finance conferences between 2011 and 2015. We rank these conferences based on publication rates in top finance and economics journals. To complement these rankings, we also examine publication rates within specific research fields and citation scores. The rankings show considerable heterogeneity in conference quality and uncover three major conference clusters. We further examine the role and timing of conferences in the publication process, analyze important time trends, explore the relationship between conference size and publication success, and highlight the relatively low overlap in accepted papers across conferences.

Stealthy Shorts: Informed Liquidity Supply (with A. Goyal, A. Reed, and A. Soebhag), Journal of Financial Economics, Volume 172, October 2025, 104155
Selected conference presentations: 2024 FRA, 2025 SFS Cavalcade NA, 2025 EFA, 2025 FIRS, 2025 Hedge Fund Research Conference Paris, 2025 FMA Consortium on Asset Management
Abstract: Short sellers are widely known to be informed, which would typically suggest that they demand liquidity. We obtain comprehensive transaction-level data to decompose daily short volume into liquidity-demanding and liquidity-supplying components. Contrary to conventional wisdom, we show that the most informed short sellers are actually liquidity suppliers, not liquidity demanders. They are particularly informative about future returns on news days and trade on prominent cross-sectional return anomalies. Our analysis suggests that market making and opportunistic risk-bearing are unlikely to explain these findings. Instead, our results align with recent market microstructure theory, pointing to the strategic liquidity provision by informed traders.

Surprise in Short Interest (with M. X. Hanauer and P. Lesnevski), Journal of Financial Markets, Volume 65, September 2023, 100841
Abstract: We extract the news component of short-selling activity by accounting for important cross-sectional, distributional differences in short interest. The resulting measure of surprise in short interest negatively predicts the cross section of both U.S. and international equity returns. Our results also indicate that this predictability originates from short sellers' informed trading on mispricing and the market's underreaction to the news component of short-sale reports. Consistent with the notion of costly arbitrage, the return predictability is stronger among illiquid, volatile stocks and stocks with high information uncertainty, but importantly, unrelated to short-selling frictions.
On the importance of fiscal space: Evidence from short sellers during the COVID-19 pandemic (with S. Greppmair and S. Jank), Journal of Banking & Finance, Volume 147, February 2023, 106652
Abstract: Using the exogenous shock of the COVID-19 pandemic, we study how informed market participants incorporate fiscal space into their trading decisions. At the onset of the pandemic, short-selling activity shifted towards companies with low financial flexibility but only in countries with limited fiscal space. Among such companies, short sellers specifically targeted those that generate their revenues mainly in the domestic market. These short sellers entered their positions before the market crash, thereby generating significant abnormal returns. We find no evidence of either herding behavior prior to the market crash or a long-run performance reversal of short sellers. These findings support the notion that short sellers help to promote price efficiency in times of crisis, where governments with budgetary constraints are unable to provide sufficient stimuli to their economies.
Flying Under the Radar: The Effects of Short-Sale Disclosure Rules on Investor Behavior and Stock Prices (with S. Jank and C. Roling), Journal of Financial Economics, Volume 139, Issue 1, January 2021, Pages 209-233
Abstract: We study how disclosure requirements for large short positions affect investor behavior and security prices. Short positions accumulate just below the applicable disclosure threshold as certain investors never disclose any of their positions. Further tests suggest that this secrecy is part of investors' general policy of avoiding disclosure to protect their unique, profitable investment strategies against reverse engineering by competitors. No evidence supports the notion that short sellers avoid disclosure because of potential adverse effects on securities’ lending fees, risk of recall, or short squeezes. Finally, the evasive behavior by short sellers in response to transparency regulations hampers price discovery.

- Internet Appendix
- WP Version

Regional Economic Activity and Stock Returns, Journal of Financial and Quantitative Analysis, Volume 54, Issue 3, June 2019, Pages 1051-1082
PhD Candidate Award for Outstanding Research, 2014 WFA; ACATIS Value Award 2018 (Third prize); Semi-finalist for the Best Paper Award in Investments, 2014 FMA
Abstract: This paper studies the diffusion of regional macroeconomic information into stock prices. I identify all U.S. states that are economically relevant for a company through textual analysis of annual reports and find that economic activity forecasts of company-relevant regions positively predict cross-sectional stock returns. Information arising from all relevant states is more important than that relating to the headquarter state alone. These forecasts also predict firms’ performance and earnings surprises, suggesting that the return predictability stems from future cash flows that are gradually reflected in prices. Finally, regional information takes longer to be incorporated into prices among difficult-to-arbitrage stocks.

Who trades on momentum? (with M. Baltzer and S. Jank), Journal of Financial Markets, Volume 42, January 2019, Pages 56-74
Abstract: Using unique data with the complete ownership structure of the German stock market, we study the momentum and contrarian trading of different investor groups. Foreign investors and financial institutions, especially mutual funds, are momentum traders, whereas private investors are contrarians. The disposition effect only partly explains the aggregate contrarian trading of private investors. We document a substantial increase in sales of past loser stocks by momentum traders during the market decline associated with the recent financial crisis 2007–2009. Evidence indicates that these excessive sales pushed prices below their fundamental value and are predictive of the momentum crash in 2009.

- Internet Appendix
- WP Version

Working Papers

Cash me if you can: ATM explosions, payment choice, and consumption (with T. Spickers, D. Urban, and M. Weber)
supported by the NWO Open Competition SSH-XS grant
Selected conference presentations: 2025 EFA, 2025 Kentucky Finance Conference, 2025 Lapland Household Finance Summit, 2025 Alpine Finance Summit, 2025 SGF
Abstract: We study the consumption effects of a shift from cash to card payments. We exploit 275 explosive attacks on automated teller machines (ATMs) in Germany, which provide plausibly exogenous variation in the availability of cash. Using home scan data, we find that households increase their consumption by 2.3% after an ATM in their vicinity is attacked. Purchases of more expensive, branded products, and temptation goods drive the increase in spending, and the effect largely dissipates after 3 months. Payment diaries from survey data suggest a significant long-term rise in card payments following explosive attacks. Overall, the results are consistent with short-term overspending as consumers transition to digital payments.
Who Scores the Gig? Gender Equality Initiatives and Female Selection (with M. Gertsberg, W. Hou, D. Urban, and P. Verwijmeren)
Abstract: Initiatives to promote women's careers and reduce gender inequality in high-status positions have gained popularity. However, an important question arises: which women are being chosen for these opportunities? Are they predominantly those already at the top of their fields? By studying responses to a gender equality initiative within the context of academic conferences, we find that, initially, reputable and well-established women are selected for prestigious roles. Over time, the pool of selected women broadens to also include those from less prestigious institutions.

Permanent Working Papers

Board Connections and Bank Trading Returns (with M. Baltzer and E. Fernau)
Selected conference presentations: 2020 EFA, 2019 DGF, 2019 CFD
Abstract: Using security-by-security level data of bank holdings, we study how management-board ties relate to bank trading activity and returns. Accounting for unobservable time-varying stock and bank characteristics, we document five times higher trading activity and an abnormal return of 3.35% per year in stocks of connected companies. This informed trading is driven by net sales, stems from private information about future firm-specific news and is not explained by other observable company links. The effect is particularly pronounced among stocks with an uncertain information environment and companies in distress. Results from plausibly exogenous board turnovers, which address the matching of bank managers to other firms, corroborate our findings. Overall, evidence suggests that management board networks pose an important information source for banks' proprietary trading.

Dissecting Short-Sale Performance: Evidence from Large Position Disclosures (with S. Jank)
Best PhD Student Paper Award, 2015 DGF PhD Workshop (German Finance Association)
Selected conference presentations: 2016 SFS Cavalcade, 10th Hedge Fund Conference (Imperial College), 2017 FMA Hedge Fund Consortium
Abstract: Short sellers are perceived as informed, sophisticated investors. Yet little is known about their identity and the determinants of their performance. Using novel data of daily disclosures in Europe, we identify large short positions of individual institutions and study their performance. Hedge funds, the predominant short sellers, receive on average an annualized Fama-French risk-adjusted return of about 5.5%. Although this return is explained by trading on mispricing-related factors, there is considerable variation across funds. Local, diversified, and active funds outperform other funds. We also document a first-mover advantage and an outperformance related to investment horizon and industry experience.

Teaching
FEB13001 Finance 2, Undergraduate, since Winter 2017

FEM11075 Seminar Advanced Investments, Graduate, since Winter 2018

BERMAMC007 Seminar Asset Pricing, PhD, Autumn 2017 and 2018

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