Are shorts equally informed? A global perspective

• Main Authors: BOEHMER, Ekkehart, HUSZAR, Zsuzsa R., WANG, Yanchu, WANG, Xiaoyan
• Format: text
• Language: English
• Published: Institutional Knowledge at Singapore Management University 2017
• Subjects: Short selling; Short-sale Regulations; Market Development; Short-sale Ban; Finance; Finance and Financial Management
• Online Access: https://ink.library.smu.edu.sg/lkcsb_research/5338; https://ink.library.smu.edu.sg/context/lkcsb_research/article/6337/viewcontent/SSRN_id2668357.pdf
• Institution: Singapore Management University

Short selling predicts future stock returns globally. We use 11 short-sale measures to examine the informativeness of short sales in 38 countries for the July 2006 to December 2014 period. We find that different short-sale measures display different return predictability. The days-to-cover ratio and loan supply measures have the most robust predictive power in the global capital market. We also document significant cross-country differences in the predictive power of the short selling measures and find that return predictability is stronger in countries with mild forms of short-sale restrictions, better market quality, and more developed markets.