Short interest and aggregate stock returns

• 成果类型: Article
• 署名作者: Rapach, David E.; Ringgenberg, Matthew C.; Zhou, Guofu
• 署名单位: Saint Louis University; Washington University (WUSTL)
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2016.03.004
• 发表日期: 2016
• 页码: 46-65
• 关键词: EQUITY RISK PREMIUM; Predictive regression; Short interest; Cash flow channel; informed traders

摘要

We show that short interest is arguably the strongest known predictor of aggregate stock returns. It outperforms a host of popular return predictors both in and out of sample, with annual R-2 statistics of 12.89% and 13.24%, respectively. In addition, short interest can generate utility gains of over 300 basis points per annum for a mean-variance investor. A vector autoregression decomposition shows that the economic source of short interest's predictive power stems predominantly from a cash flow channel. Overall, our evidence indicates that short sellers are informed traders who are able to anticipate future aggregate cash flows and associated market returns. (c) 2016 Elsevier B.V. All rights reserved.