Can Shorts Predict Returns? A Global Perspective

• 成果类型: Article
• 署名作者: Boehmer, Ekkehart; Huszar, Zsuzsa R.; Wang, Yanchu; Zhang, Xiaoyan; Zhang, Xinran
• 署名单位: Singapore Management University; National University of Singapore; Shanghai University of Finance & Economics; Tsinghua University; Central University of Finance & Economics
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhab079
• 发表日期: 2022
• 页码: 2428
• 关键词: SHORT SALE CONSTRAINTS; SHORT-SELLERS; price; EFFICIENCY; OWNERSHIP; disclosure; news

摘要

Using multiple short-sale measures, we examine the predictive power of short sales for future stock returns in 38 countries from July 2006 to December 2014. We find that the days-to-cover ratio and the utilization ratio measures have the most robust predictive power for future stock returns in the global capital market. Our results display significant cross-country and cross-firm differences in the predictive power of alternative short-sale measures. The predictive power of shorts is stronger in countries with nonprohibitive short sale regulations and for stocks with relatively low liquidity, high shorting fees, and low price efficiency.