We use transaction-level securities-lending data to measure the profitability of individual short sales and examine its sources. Short sellers earn economically meaningful returns, but their informational advantage is short-lived: profitability declines sharply with transaction duration and is concentrated among positions that close quickly. Newly initiated short positions predict returns beyond conventional short interest, but their predictive power dissipates within one to two weeks. Short sales initiated immediately before earnings announcements are particularly profitable and predict announcement outcomes. In contrast, short sellers exhibit limited ability to time their exits. Overall, short sellers’ informational advantage is economically significant but concentrated near trade initiation.