The Good News in Short Interest

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 posit...

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Main Authors: BOEHMER, Ekkehart, Huszar, Zsuzsa R., Jordan, Bradford D.
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 2010
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Online Access:https://ink.library.smu.edu.sg/lkcsb_research/4664
https://doi.org/10.1016/j.jfineco.2009.12.002
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Institution: Singapore Management University
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spelling sg-smu-ink.lkcsb_research-56632016-02-11T13:05:30Z The Good News in Short Interest BOEHMER, Ekkehart Huszar, Zsuzsa R. Jordan, Bradford D. 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. 2010-04-01T07:00:00Z text https://ink.library.smu.edu.sg/lkcsb_research/4664 info:doi/10.1016/j.jfineco.2009.12.002 https://doi.org/10.1016/j.jfineco.2009.12.002 Research Collection Lee Kong Chian School Of Business eng Institutional Knowledge at Singapore Management University Short sales Short interest Short sale constraints Market efficiency Business Finance Finance and Financial Management
institution Singapore Management University
building SMU Libraries
continent Asia
country Singapore
Singapore
content_provider SMU Libraries
collection InK@SMU
language English
topic Short sales
Short interest
Short sale constraints
Market efficiency
Business
Finance
Finance and Financial Management
spellingShingle Short sales
Short interest
Short sale constraints
Market efficiency
Business
Finance
Finance and Financial Management
BOEHMER, Ekkehart
Huszar, Zsuzsa R.
Jordan, Bradford D.
The Good News in Short Interest
description 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.
format text
author BOEHMER, Ekkehart
Huszar, Zsuzsa R.
Jordan, Bradford D.
author_facet BOEHMER, Ekkehart
Huszar, Zsuzsa R.
Jordan, Bradford D.
author_sort BOEHMER, Ekkehart
title The Good News in Short Interest
title_short The Good News in Short Interest
title_full The Good News in Short Interest
title_fullStr The Good News in Short Interest
title_full_unstemmed The Good News in Short Interest
title_sort good news in short interest
publisher Institutional Knowledge at Singapore Management University
publishDate 2010
url https://ink.library.smu.edu.sg/lkcsb_research/4664
https://doi.org/10.1016/j.jfineco.2009.12.002
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