Increase in Short Interest and Predictability in Stock Returns (Infiniti 2011)

• Main Authors: Mohamad, Azhar, Aziz, Jaafar, Hodgkinson, Lynn, Wells, Jo
• Format: Conference or Workshop Item
• Language: English; English; English
• Published: 2011
• Subjects: HG4001 Financial management. Business finance. Corporation finance.; HG4501 Stocks, investment, speculation
• Online Access: http://irep.iium.edu.my/28477/4/Increase_in_Short_Interest_and_Predictability_in_Stock_Returns_%28Infiniti_2011%29.pdf; http://irep.iium.edu.my/28477/2/Infiniti_2011_Acceptance_Email.pdf; http://irep.iium.edu.my/28477/3/INFINITI_2011_Programme_Schedule.pdf; http://irep.iium.edu.my/28477/; http://www.tcd.ie/business/assets/pdfs/DRAFT_INFINITI_2011_Programme_v2.2%5B1%5D.pdf
• Institution: Universiti Islam Antarabangsa Malaysia

This paper, following Diamond and Verrecchia (1987) and Senchack and Starks (1993) questions whether significant negative stock returns follow increases in short interest using a more recent and comprehensive dataset from the UK. In addition, the paper also questions whether increasing levels of sho...