The Good News in Short Interest

• Main Authors: BOEHMER, Ekkehart, Huszar, Zsuzsa R., Jordan, Bradford D.
• Format: text
• Language: English
• Published: Institutional Knowledge at Singapore Management University 2010
• Subjects: Short sales; Short interest; Short sale constraints; Market efficiency; Business; Finance; Finance and Financial Management
• Online Access: https://ink.library.smu.edu.sg/lkcsb_research/4664; https://doi.org/10.1016/j.jfineco.2009.12.002
• Institution: Singapore Management University

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...