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Short selling and stock returns: evidence from the UK

Mohamad, Azhar and Jaafar , Aziz and Hodgkinson , Lynn and Wells, Jo (2011) Short selling and stock returns: evidence from the UK. In: Annual Submit on Business and Entrepreneurial Studues - ASBES 2011, 17-18 October 2011, Kuching, Sarawak.

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Abstract

This paper examines the information content of short interest by investigating whether firms that experience significant daily increases in short interest subsequently experience negative abnormal returns. Using UK daily short interest data for the period September 2003 to April 2010, we find a significant negative cumulative average abnormal return of 1.48% for valuation short stocks for the first 15 days post-publication of short interest data. This result suggests that short interest has informational content consistent with the Diamond and Verrecchia (1987) hypothesis: unusually large increases in short interest are followed by periods of negative abnormal returns.

Item Type: Conference or Workshop Item (Full Paper)
Additional Information: 3334/28465 Published in Annual Summit on Business and Entrepreneurial Studies (ASBES 2011) Proceeding
Uncontrolled Keywords: short interest, short selling, stock returns, abnormal returns
Subjects: H Social Sciences > HG Finance > HG4001 Financial management. Business finance. Corporation finance.
H Social Sciences > HG Finance > HG4501 Stocks, investment, speculation
Kulliyyahs/Centres/Divisions/Institutes (Can select more than one option. Press CONTROL button): Kulliyyah of Economics and Management Sciences > Department of Finance
Depositing User: Dr Azhar Mohamad
Date Deposited: 13 Jan 2013 19:51
Last Modified: 13 Feb 2013 21:50
URI: http://irep.iium.edu.my/id/eprint/28465

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