An Investigation of The Informational Role of Short Interest in The Nasdaq Market  

Oleh:

Desai, Hemang ; Thiagarajan, K. Ramesh S. Ramu ; Balachandran, Bala V.

Jenis: Article from Journal - ilmiah internasional
Dalam koleksi: The Journal of Finance (EBSCO) vol. 57 no. 5 (2002), page 2263-2288.
Topik: MARKETS; securities markets; studies; rates of return; NASDAQ trading
Fulltext: p 2263.pdf (125.35KB)

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Perpustakaan Pusat (Semanggi) Nomor Panggil: JJ88 Non-tandon: 1 (dapat dipinjam: 0) Tandon: tidak ada

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Isi artikel

This paper examines the relationship between the level of short interest and stock returns in the Nasdaq market from June 1988 through December 1994. It finds that heavily shorted firms experience significant negative abnormal returns ranging from -0.76 to -1.13 percent per month after controlling for the market, size, book - to - market, and momentum factors. These negative returns increase with the level of short interests, indicating that a higher level of short interest is a stronger bearish signal. The paper finds that heavily shorted firms are more likely to be delisted compared to their size, book - to - market, and momentum matched control firms.

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