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Informational content of short interest (EBES 2011)

Mohamad, Azhar (2011) Informational content of short interest (EBES 2011). In: Euroasia Business and Economics Society (EBES) Conference, Istanbul, Turkey, 1-3 June 2011, Istanbul< Turkey. (Unpublished)

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Abstract

This paper examines the information content of short interest by examining whether firms that experience significant increase in short interest subsequently experience negative returns. Using the UK daily short interest data from the period of September 2003 to April 2010, we find a significant cumulative average abnormal return post-publication of short interest data. We also find the larger the increase in short interest, the more negative is the abnormal returns. The results indicate informational content of short interest which is consistent with Diamond and Verrecchia (1987) hypotheses.

Item Type: Conference or Workshop Item (Full Paper)
Additional Information: 3334/28466
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: 15 Jan 2013 11:02
Last Modified: 13 Feb 2013 21:37
URI: http://irep.iium.edu.my/id/eprint/28466

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