Title: Short interest and stock returns
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.
Subjects: Econometric models, Prices, Stocks