Aggregate short interest and market valuations
By: Owen A. Lamont, Jeremy C. Stein.
Contributors: Stein, Jeremy C.; National Bureau of Economic Research.
Series: NBER working paper series ;; working paper 10218; Working paper series (National Bureau of Economic Research : Online) ;; working paper no. 10218.
Publisher: National Bureau of Economic Research
Published: 2004
Place of publication: Cambridge, MA
Language: eng
Format: Electronic resource
Subjects: Short selling.; Stocks -- Prices.
Description: "We examine some basic data on the evolution of aggregate short interest, both during the dot-com era, and at other times in history.  Total short interest moves in a countercyclical fashion.  For example, short interest in NASDAQ stocks actually declines as the NASDAQ index approaches its peak.  Moreover, this decline does not seem to reflect a substitution away from outright short-selling and towards put options, as the ratio of put-to-call volume displays the same countercyclical tendency.  The evidence suggests that: i. arbitrageurs are reluctant to bet against aggregate mispricings; and ii. short-selling does not play a particularly helpful role in stabilizing the overall stock market"--National Bureau of Economic Research web site.
Notes: Includes bibliographical references.
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Mode of access: World Wide Web.