Short interest and stock returns
By: Paul Asquith, Parag A. Pathak, Jay R. Ritter.
Contributors: Pathak, Parag A.; Ritter, Jay R., 1954-; National Bureau of Economic Research.
Series: NBER working paper series ;; working paper 10434; Working paper series (National Bureau of Economic Research : Online) ;; working paper no. 10434.
Publisher: National Bureau of Economic Research
Published: 2004
Place of publication: Cambridge, MA
Language: eng
Format: Electronic resource
Subjects: Stocks -- Prices -- Econometric models.
Description: "Using a longer time period and both NYSE-Amex and Nasdaq stocks, this paper examines short interest and stock returns in more detail than any previous study and finds that many documented patterns are not robust.  While equally weighted high short interest portfolios generally underperform, value weighted portfolios do not.  In addition, there is a negative correlation between market returns and short interest over our whole period.  Finally, inferences from short time periods, such as 1988-1994 when the underperformance of high short interest stocks was exceptional or 1995-2002, when high short interest Nasdaq stocks did not underperform, are misleading"--National Bureau of Economic Research web site.
Notes: Includes bibliographical references.
Title from PDF file as viewed on 1/13/2005.
Also available in print.
System requirements: Adobe Acrobat Reader.
Mode of access: World Wide Web.