Short interest, returns, and unfavorable fundamental information

Short interest, returns, and unfavorable fundamental information

Several months before information becomes public, the level of short interest contains value-relevant information about publicly traded corporations. Short interest predicts future bad news, negative earnings surprises, and downward revisions in analyst earnings forecasts. This informational content...

Full description

Saved in:
Bibliographic Details
Main Authors: AKBAS, Ferhat, BOEHMER, Ekkehart, ERTURK, Bilal, SORESCU, Sorin
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 2017
Subjects:
Short interest
fundamental information
cross-section of stock returns
Corporate Finance
Finance and Financial Management
Online Access:https://ink.library.smu.edu.sg/lkcsb_research/5272
https://ink.library.smu.edu.sg/context/lkcsb_research/article/6271/viewcontent/ShortInterestReturnsFundamentals_2016_pp.pdf
Tags: Add Tag
No Tags, Be the first to tag this record!
Institution: Singapore Management University
Language: English
id sg-smu-ink.lkcsb_research-6271
record_format dspace
spelling sg-smu-ink.lkcsb_research-62712018-09-13T08:56:39Z Short interest, returns, and unfavorable fundamental information AKBAS, Ferhat BOEHMER, Ekkehart ERTURK, Bilal SORESCU, Sorin Several months before information becomes public, the level of short interest contains value-relevant information about publicly traded corporations. Short interest predicts future bad news, negative earnings surprises, and downward revisions in analyst earnings forecasts. This informational content is stronger for stocks that are harder to short. We also find that nearly half of the well-known cross-sectional relation between short interest and future stock returns is related to future changes in firms’ value-relevant information. Our results suggest that short interest predicts future returns, in part, due to short sellers’ ability to uncover unfavorable information about firms. 2017-06-01T07:00:00Z text application/pdf https://ink.library.smu.edu.sg/lkcsb_research/5272 info:doi/10.1111/fima.12144 https://ink.library.smu.edu.sg/context/lkcsb_research/article/6271/viewcontent/ShortInterestReturnsFundamentals_2016_pp.pdf http://creativecommons.org/licenses/by-nc-nd/4.0/ Research Collection Lee Kong Chian School Of Business eng Institutional Knowledge at Singapore Management University Short interest fundamental information cross-section of stock returns Corporate 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 interest
fundamental information
cross-section of stock returns
Corporate Finance
Finance and Financial Management
spellingShingle Short interest
fundamental information
cross-section of stock returns
Corporate Finance
Finance and Financial Management
AKBAS, Ferhat
BOEHMER, Ekkehart
ERTURK, Bilal
SORESCU, Sorin
Short interest, returns, and unfavorable fundamental information
description Several months before information becomes public, the level of short interest contains value-relevant information about publicly traded corporations. Short interest predicts future bad news, negative earnings surprises, and downward revisions in analyst earnings forecasts. This informational content is stronger for stocks that are harder to short. We also find that nearly half of the well-known cross-sectional relation between short interest and future stock returns is related to future changes in firms’ value-relevant information. Our results suggest that short interest predicts future returns, in part, due to short sellers’ ability to uncover unfavorable information about firms.
format text
author AKBAS, Ferhat
BOEHMER, Ekkehart
ERTURK, Bilal
SORESCU, Sorin
author_facet AKBAS, Ferhat
BOEHMER, Ekkehart
ERTURK, Bilal
SORESCU, Sorin
author_sort AKBAS, Ferhat
title Short interest, returns, and unfavorable fundamental information
title_short Short interest, returns, and unfavorable fundamental information
title_full Short interest, returns, and unfavorable fundamental information
title_fullStr Short interest, returns, and unfavorable fundamental information
title_full_unstemmed Short interest, returns, and unfavorable fundamental information
title_sort short interest, returns, and unfavorable fundamental information
publisher Institutional Knowledge at Singapore Management University
publishDate 2017
url https://ink.library.smu.edu.sg/lkcsb_research/5272
https://ink.library.smu.edu.sg/context/lkcsb_research/article/6271/viewcontent/ShortInterestReturnsFundamentals_2016_pp.pdf
_version_ 1770573696154468352

Similar Items