Short Interest, Returns, and Unfavorable Fundamental Information

被引：33

作者：

Akbas, Ferhat ^{[1
]}

Boehmer, Ekkehart ^{[2
]}

Erturk, Bilal ^{[3
]}

Sorescu, Sorin ^{[3
]}

机构：

[1] Univ Kansas, Sch Business, Lawrence, KS 66045 USA

[2] Singapore Management Univ, Univ Lee Kong Chian Sch Business, Singapore, Singapore

[3] Texas A&M Univ, Mays Business Sch, Dept Finance, College Stn, TX USA

来源：

FINANCIAL MANAGEMENT | 2017年 / 46卷 / 02期

关键词：

INITIAL PUBLIC OFFERINGS; STOCK RETURNS; SHORT SELLERS; CROSS-SECTION; INSTITUTIONAL INVESTORS; SECURITY RETURNS; ARBITRAGE; MARKET; REPUTATION; NEWS;

D O I：

10.1111/fima.12144

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

Several months before information becomes public, the level of short interest contains value-relevant information about publicly traded corporations. Short interest predicts future bad news, negative earnings surprises, and downward revisions in analyst earnings forecasts. This informational content is stronger for stocks that are harder to short. We also find that nearly half of the well-known cross-sectional relation between short interest and future stock returns is related to future changes in firms' value-relevant information. Our results suggest that short interest predicts future returns, in part, due to short sellers' ability to uncover unfavorable information about firms.

引用

页码：455 / 486

页数：32

共 51 条

[1] Illiquidity and stock returns: cross-section and time-series effects
Amihud, Y
[J]. JOURNAL OF FINANCIAL MARKETS, 2002, 5 (01) : 31 - 56
[2] The information content of short interest: A natural experiment
Arnold, T
Butler, AW
Crack, TF
Zhang, Y
[J]. JOURNAL OF BUSINESS, 2005, 78 (04) : 1307 - 1335
[3] Short interest, institutional ownership, and stock returns
Asquith, P
Pathak, PA
Ritter, JR
[J]. JOURNAL OF FINANCIAL ECONOMICS, 2005, 78 (02) : 243 - 276
[4] Liquidity and autocorrelations in individual stock returns
Avramov, Doron
Chordia, Tarun
Goyal, Amit
[J]. JOURNAL OF FINANCE, 2006, 61 (05) : 2365 - 2394
[5] INVESTMENT BANKING, REPUTATION, AND THE UNDERPRICING OF INITIAL PUBLIC OFFERINGS
BEATTY, RP
RITTER, JR
[J]. JOURNAL OF FINANCIAL ECONOMICS, 1986, 15 (1-2) : 213 - 232
[6] BEATTY RP, 1989, ACCOUNT REV, V64, P693
[7] Beneish M. D., 2015, J ACCOUNT ECON, V60, P241
[8] THE EFFECT OF LENDER IDENTITY ON A BORROWING FIRMS EQUITY RETURN
BILLETT, MT
FLANNERY, MJ
GARFINKEL, JA
[J]. JOURNAL OF FINANCE, 1995, 50 (02) : 699 - 718
[9] Which shorts are informed?
Boehmer, Ekkehart
Jones, Charles M.
Zhang, Xiaoyan
[J]. JOURNAL OF FINANCE, 2008, 63 (02) : 491 - 527
[10] Short Selling and the Price Discovery Process
Boehmer, Ekkehart
Wu, Juan
[J]. REVIEW OF FINANCIAL STUDIES, 2013, 26 (02) : 287 - 322

← 1 2 3 4 5 6 →