Please use this identifier to cite or link to this item: https://doi.org/10.1016/j.jfineco.2009.12.002
Title: The good news in short interest
Authors: Boehmer, E.
Huszar, Z.R. 
Jordan, B.D.
Keywords: Market efficiency
Short interest
Short sale constraints
Short sales
Issue Date: 2010
Source: Boehmer, E., Huszar, Z.R., Jordan, B.D. (2010). The good news in short interest. Journal of Financial Economics 96 (1) : 80-97. ScholarBank@NUS Repository. https://doi.org/10.1016/j.jfineco.2009.12.002
Abstract: Stocks with relatively high short interest subsequently experience negative abnormal returns, but the effect can be transient and of debatable economic significance. In contrast, relatively heavily traded stocks with low short interest experience both statistically and economically significant positive abnormal returns. These positive returns are often larger (in absolute value) than the negative returns observed for heavily shorted stocks. Thus, the positive information associated with low short interest, which is publicly available, is only slowly incorporated into prices, which raises a broader market efficiency issue. Our results also cast doubt on existing theories of the impact of short sale constraints. © 2009 Elsevier B.V. All rights reserved.
Source Title: Journal of Financial Economics
URI: http://scholarbank.nus.edu.sg/handle/10635/44439
ISSN: 0304405X
DOI: 10.1016/j.jfineco.2009.12.002
Appears in Collections:Staff Publications

Show full item record
Files in This Item:
There are no files associated with this item.

SCOPUSTM   
Citations

54
checked on Dec 6, 2017

WEB OF SCIENCETM
Citations

49
checked on Nov 21, 2017

Page view(s)

103
checked on Dec 17, 2017

Google ScholarTM

Check

Altmetric


Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.