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• W1567493268 abstract "Existing studies have debated on the information content and the predictive power on future stock returns of short interests-the number of shares of a stock sold short. We explore a unique institutional feature on the time lag between monthly recording of short interests and their public release to examine the information content and the predictive power of short interests. Using a matching approach, we find that the impact of the negative information content of short interests is more pronounced than previously documented, but only exists in the period before the short interest data is publicly released. Upon public release, short interests have no significant predictive power on future stock returns. Moreover, much of the previously documented negative abnormal return of the most heavily shorted portfolio formed on published short interests is largely due to the liquidity risk. In order to better reveal the potential negative information in short sale activities while considering the short sale constraints, we propose the binding ratio-a ratio between the short interest and the institutional ownership. We find that both short interest and binding ratio are closely related to forthcoming negative earnings surprises in the following month. However, only binding ratio reflect other potential negative information." @default.
• W1567493268 created "2016-06-24" @default.
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• W1567493268 date "2009-01-01" @default.
• W1567493268 modified "2023-09-24" @default.
• W1567493268 title "Understanding the Information Content of Short Interests" @default.
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• W1567493268 doi "https://doi.org/10.2139/ssrn.1331642" @default.
• W1567493268 hasPublicationYear "2009" @default.
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