Journal ArticleDOI
Short Interest: Explanations and Tests
TLDR
In this article, the authors performed cross-sectional and time series tests to explain levels and changes in short interest and found that stocks with high betas and the existence of convertible securities or options tend to have higher levels of short interest.Abstract:Â
Cross-sectional and time series tests are performed to explain levels and changes in short interest. Explanatory variables and tests are chosen based on tax, arbitrage, and speculative reasons for going short. Short interest is found to follow a seasonal pattern that is weakly consistent with tax-based trading. Stocks with high betas and the existence of convertible securities or options tend to have higher levels of short interest, which is con? sistent with arbitrage efforts. For firms with traded options, there is a positive association between the month-to-month changes in option open interest and short interest. Prior months' returns and changes in short interest are positively related, but there is no rela? tionship between changes in short interest and returns in the subsequent month.read more
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Breadth of ownership and stock returns
TL;DR: In this article, the authors developed a stock market model with differences of opinion and short-sales constraints and found that stocks whose change in breadth in the prior quarter is in the lowest decile of the sample underperform those in the top decile by 6.38% in the twelve months after formation.
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Short-Sale Strategies and Return Predictability
TL;DR: This paper examined short selling in US stocks based on new SEC-mandated data for 2005 and found that short sellers increase their trading following positive returns and correctly predict future negative abnormal returns.
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Which Shorts are Informed
TL;DR: In this paper, the authors construct a long daily panel of short sales using proprietary NYSE order data, showing that short sellers are quite well-informed and are important contributors to efficient stock prices.
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Short-sellers, fundamental analysis and stock returns *
TL;DR: In this paper, the authors show that short-sellers use information in these ratios to take positions in stocks with lower expected future returns, and that shortsellers refine their trading strategies to minimize transactions costs and maximize their investment returns.
Posted Content
Short-sellers, fundamental analysis and stock returns *
TL;DR: The authors show that shortsellers use information in these ratios about either (i) temporary mispricing, or (ii) unknown risk factors, to boost their investment returns, and that short-sellers avoid firms where the transaction costs of short-selling are high and where the low ratios are due to temporarily low fundamentals, rather than temporarily high prices.
References
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Journal ArticleDOI
Does the Stock Market Overreact
TL;DR: In this article, a study of market efficiency investigates whether people tend to "overreact" to unexpected and dramatic news events and whether such behavior affects stock prices, based on CRSP monthly return data, is consistent with the overreaction hypothesis.
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An empirical evaluation of accounting income numbers
Ray Ball,Philip Brown +1 more
TL;DR: In this article, it is argued that income numbers cannot be defined substantively, that they lack "meaning" and are therefore of doubtful utility, and the argument stems in part from the patchwork development of account-based theories.
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The relationship between return and market value of common stocks
TL;DR: Scholes et al. as discussed by the authors examined the relationship between the total market value of the common stock of a firm and its return and found that small firms had higher risk adjusted returns than large firms.
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Risk, uncertainty, and divergence of opinion
TL;DR: In this paper, the authors explore the implications of a market with restricted short selling in which investors have differing estimates of the returns from investing in a risky security, and explain the very low returns on the stocks in the highest risk classes, the poor long run results on new issues of stocks, the presence of discounts from net value for closed end investment companies, and the lower than predicted rates of return for stocks with high systematic risk.
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SIZE-RELATED ANOMALIES AND STOCK RETURN SEASONALITY Further Empirical Evidence
TL;DR: In this paper, the empirical relation between abnormal returns and market value of NYSE and AMEX common stocks was examined, month-by-month, and it was shown that daily abnormal return distributions in January have large means relative to the remaining eleven months.