Short interest, institutional ownership, and stock returns

• 成果类型: Article
• 署名作者: Asquith, P; Pathak, PA; Ritter, JR
• 署名单位: Massachusetts Institute of Technology (MIT); National Bureau of Economic Research; Harvard University; State University System of Florida; University of Florida
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2005.01.001
• 发表日期: 2005
• 页码: 243-276
• 关键词: Short sales; Short interest; Limits to arbitrage

摘要

Stocks are short-sale constrained when there is a strong demand to sell short and a limited Supply of shares to borrow. Using data on both short interest (a proxy for demand) and institutional ownership (a proxy for supply) we find that constrained stocks underperform during the period 1988 - 2002 by a significant 215 basis points per month on an equally weighted basis, although by only in insignificant 39 basis points per month on a value-weighted basis. For the overwhelming majority of stocks, short interest and institutional ownership levels make short selling constraints unlikely. (c) 2005 Elsevier B.V. All rights reserved.