The authors of the paper actually briefly mention that the research seems to suggest shorting a stock is a good strategy (p.21 of the paper). However, they mention that--because these are sparsely-traded stock in general (when not being touted)--that shorting might be impractical. In many cases, the stock might not be available to short and the trader might not find the stock liquid enough to profit. In theory, however, shorting has the greatest expected return, 7.9 percent.

I'm not sure on the legality of the strategy.

-R

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