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

• Main Authors: ZHU, Zhaobo, DUAN, Xinrui, Jun TU
• 格式: text
• 語言: English
• 出版: Institutional Knowledge at Singapore Management University 2019
• 主題: Short interest; Short selling; Short-Sale constraints; Underreaction; Finance and Financial Management; Portfolio and Security Analysis
• 在線閱讀: https://ink.library.smu.edu.sg/lkcsb_research/7069; https://ink.library.smu.edu.sg/cgi/viewcontent.cgi?article=8068&context=lkcsb_research

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...