Why All the Interest in Short Interest?

Caster, Paul; Vu, Joseph D.V.

doi:10.2469/faj.v43.n4.76

Cited by 13 publications

(4 citation statements)

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“…He also finds a weak but statistically significant negative correlation between the degree of short interest and abnormal returns. Vu and Caster (1987) examine stock price reaction to the monthly release of short-interest positions by analyzing daily abnormal returns of stocks reporting large short-interest increases. They find no significant announcement effect, but do find a significant increase in stock prices before the announcement date is reported.…”

Section: Empirical Research On Short Salesmentioning

confidence: 99%

Short-Sale Restrictions and Market Reaction to Short-Interest Announcements

Senchack¹,

Starks²

1993

The Journal of Financial and Quantitative Analysis

304

156

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Section: Empirical Research On Short Salesmentioning

confidence: 99%

Short-Sale Restrictions and Market Reaction to Short-Interest Announcements

Senchack¹,

Starks²

1993

The Journal of Financial and Quantitative Analysis

304

156

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“…With the exception of Asquith and Meulbroek ((1995); hereafter A‐M), prior research on short interest has failed to document a strong and consistent relationship between short interest and abnormal stock returns. For example, see Figlewski (1981), Conrad (1986), Vu and Caster (1987), Brent et al (1990), Bhattacharya and Gallinger (1991), Senchack and Starks (1993), Choie and Hwang (1994), and Woolridge and Dickinson (1994). This is likely due to the use of data reported by the media or the use of small random samples.…”

mentioning

confidence: 99%

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

Desai

Ramesh

Thiagarajan

et al. 2002

The Journal of Finance

601

314

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This paper examines the relationship between the level of short interest and stock returns in the Nasdaq market from June 1988 through December 1994. We find that heavily shorted firms experience significant negative abnormal returns ranging from Ϫ0.76 to Ϫ1.13 percent per month after controlling for the market, size, book-to-market, and momentum factors. These negative returns increase with the level of short interest, indicating that a higher level of short interest is a stronger bearish signal. We find 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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“…However, Woolridge and Dickinson (1994) suggest a positive but insignificant relationship between short interest ratio changes and individual stock prices. Similarly, Brown and Cliff (2004) and Vu and Caster (1987) also find results that do not support the predictive role of the short interest ratio. Biggs (1966); Gup (1973); Hanna (1976); Lamont and Stein (2003); Mayor (1968); Shiller (2000); Smith (1968 1989-2010 1989-2010 1989-2010 1987-2010 1987-2010 Sentiment survey results provide a direct measure of investors' view on the future market.…”

Section: Short Salesmentioning

confidence: 61%

Technical market indicators: An overview

Fang

Qin

Jacobsen

2014

Journal of Behavioral and Experimental Finance

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a b s t r a c tCurrent evidence on the predictability of technical analysis largely concentrates on pricebased technical indicators such as moving averages rules and trading range breakout rules. In contrast, the predictability of widely used technical market indicators such as advance/decline lines, volatility indices, and short-term trading indices has drawn limited attention. Although some market indicators have also become popular sentiment proxies in the behavioral finance field to predict returns, the results generally rely on using just one or a few indicators at a time. This approach raises the risk of data snooping, since so many proxies are proposed. We review and examine the profitability of a wide range of 93 market indicators. We give these technical market indicators the benefit of the doubt, but even then we find little evidence that they predict stock market returns. This conclusion continuously holds even if we allow predictability to be state dependent on business cycles or sentiment regimes.

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Why All the Interest in Short Interest?

Cited by 13 publications

References 0 publications

Short-Sale Restrictions and Market Reaction to Short-Interest Announcements

Short-Sale Restrictions and Market Reaction to Short-Interest Announcements

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

Technical market indicators: An overview

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