1. DGTW abnormal return to single-sorted (Panels A and B) and double-sorted (Panels C and D) equally-weighted portfolios;based on AveSSV (t-5_t-1) and AveAFM(t-5_t
2. AveSSV (t-5_t-1) is SSV averaged over day t-5 to t-1, where SSV is the daily ratio of the stock's shorting volume in a given stock multiplied by negative one, normalized by the stock;42, and 63 trading days after portfolio formation
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4. quant meltdown crisis. This time period is quite unusual in terms of the profitability of SSV strategies. Consequently, for all panels, we report results for three time periods;Portfolios constructed during the last three month of our sample,2005