The trend in short selling and the cross section of stock returns

• Main Authors: ZHU, Zhaobo, DUAN, Xinrui, Jun TU
• Format: text
• Language: English
• Published: Institutional Knowledge at Singapore Management University 2019
• Subjects: Short interest; Short selling; Short-Sale constraints; Underreaction; Finance and Financial Management; Portfolio and Security Analysis
• Online Access: https://ink.library.smu.edu.sg/lkcsb_research/6830; https://ink.library.smu.edu.sg/context/lkcsb_research/article/7829/viewcontent/TrendShortSelling_ZhuDuanTu_2019.pdf
• Institution: Singapore Management University

This paper documents that stocks with a decreasing (increasing) trend in their short selling as proxied by the long-term change in short interest experience significant and positive (negative) abnormal returns. Moreover, the positive abnormal returns have larger absolute values and are more persiste...