Can shorts predict returns? A global perspective
Using multiple short-sale measures, we examine the predictive power of short sales for future stock returns in 38 countries from July 2006 to December 2014. We find that the days-to-cover ratio and the utilization ratio measures have the most robust predictive power for future stock returns in the g...
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| Main Authors: | , , , , |
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| Format: | text |
| Language: | English |
| Published: |
Institutional Knowledge at Singapore Management University
2022
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| Subjects: | |
| Online Access: | https://ink.library.smu.edu.sg/lkcsb_research/7006 https://ink.library.smu.edu.sg/context/lkcsb_research/article/8005/viewcontent/ShortsPredictReturns_2021_sv.pdf |
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| Institution: | Singapore Management University |
| Language: | English |