The trend in short selling and the cross section of stock returns
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...
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| Main Authors: | , , |
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| Format: | text |
| Language: | English |
| Published: |
Institutional Knowledge at Singapore Management University
2019
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| Subjects: | |
| 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 |
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| Institution: | Singapore Management University |
| Language: | English |