Days to cover and stock returns

• 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
• Institution: Singapore Management University

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...