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Increase in Short Interest and Predictability in Stock Returns (Infiniti 2011)

Mohamad, Azhar and Aziz, Jaafar and Hodgkinson, Lynn and Wells, Jo (2011) Increase in Short Interest and Predictability in Stock Returns (Infiniti 2011). In: INFINITI Conference on International Finance, 13-14 June 2011, Dublin, Ireland. (Unpublished)

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Abstract

This paper, following Diamond and Verrecchia (1987) and Senchack and Starks (1993) questions whether significant negative stock returns follow increases in short interest using a more recent and comprehensive dataset from the UK. In addition, the paper also questions whether increasing levels of short interest lead to increasingly negative returns. Using the UK daily short interest data from the period of September 2003 to April 2010, we find a significant negative relation between increases in short interest and subsequent returns on equal-weighted basis. The results indicate informational content of increases in short interest which is consistent with Diamond and Verrecchia (1987) hypotheses.

Item Type: Conference or Workshop Item (Full Paper)
Additional Information: 3334/28477
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 18:07
Last Modified: 13 Feb 2013 21:35
URI: http://irep.iium.edu.my/id/eprint/28477

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