Days to cover and stock returns

Days to cover and stock returns

A crowded trade emerges when speculators' positions are large relative to the asset's liquidity, making exit difficult. We study this problem of recent regulatory concern by focusing on short-selling. We show that days to cover (DTC), the ratio of short interest to trading volume, measures...

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Bibliographic Details
Main Authors: HONG, Harrison G., LI, Frank Weikai, NI, Sophie X., SCHEINKMAN, Jose A., YAN, Philip
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 2016
Subjects:
Days to Cover
Crowded Trades
Stock Returns
Finance
Finance and Financial Management
Online Access:https://ink.library.smu.edu.sg/lkcsb_research/5323
https://ink.library.smu.edu.sg/context/lkcsb_research/article/6322/viewcontent/SSRN_id2568768__1_.pdf
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Institution: Singapore Management University
Language: English

Internet

https://ink.library.smu.edu.sg/lkcsb_research/5323
https://ink.library.smu.edu.sg/context/lkcsb_research/article/6322/viewcontent/SSRN_id2568768__1_.pdf

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