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Short interest and stock returns: evidence from the UK (Gregynog 2011).

Mohamad, Azhar (2011) Short interest and stock returns: evidence from the UK (Gregynog 2011). In: Gregynog Accounting and Finance Colloquium 2011, 16-18 May 2011, Gregynog, Wales, UK. (Unpublished)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 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: 3334/28478
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: Kulliyyah of Economics and Management Sciences > Department of Finance
Depositing User: Dr Azhar Mohamad
Date Deposited: 15 Jan 2013 11:07
Last Modified: 13 Feb 2013 21:31
URI: http://irep.iium.edu.my/id/eprint/28478

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