The good news in short interest

• 成果类型: Article
• 署名作者: Boehmer, Ekkehart; Huszar, Zsuzsa R.; Jordan, Bradford D.
• 署名单位: University of Kentucky; University of Oregon; Universite Catholique de Lille; EDHEC Business School; National University of Singapore; California State University System; California State Polytechnic University Pomona
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2009.12.002
• 发表日期: 2010
• 页码: 80-97
• 关键词: Short sales; Short interest; Short sale constraints; market efficiency

摘要

Stocks with relatively high short interest subsequently experience negative abnormal returns, but the effect can be transient and of debatable economic significance. In contrast, relatively heavily traded stocks with low short interest experience both statistically and economically significant positive abnormal returns. These positive returns are often larger (in absolute value) than the negative returns observed for heavily shorted stocks. Thus, the positive information associated with low short interest, which is publicly available, is only slowly incorporated into prices, which raises a broader market efficiency issue. Our results also cast doubt on existing theories of the impact of short sale constraints. (C) 2009 Elsevier B.V. All rights reserved.