Increase in Short Interest and Predictability in Stock Returns (Infiniti 2011)

This paper, following Diamond and Verrecchia (1987) and Senchack and Starks (1993) questions whether significant negative stock returns follow increases in short interest using a more recent and comprehensive dataset from the UK. In addition, the paper also questions whether increasing levels of sho...

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Main Authors:	Mohamad, Azhar, Aziz, Jaafar, Hodgkinson, Lynn, Wells, Jo
Format:	Conference or Workshop Item
Language:	English English English
Published:	2011
Subjects:	HG4001 Financial management. Business finance. Corporation finance. HG4501 Stocks, investment, speculation
Online Access:	http://irep.iium.edu.my/28477/ http://irep.iium.edu.my/28477/ http://irep.iium.edu.my/28477/4/Increase_in_Short_Interest_and_Predictability_in_Stock_Returns_%28Infiniti_2011%29.pdf http://irep.iium.edu.my/28477/2/Infiniti_2011_Acceptance_Email.pdf http://irep.iium.edu.my/28477/3/INFINITI_2011_Programme_Schedule.pdf

id	iium-28477
recordtype	eprints
spelling	iium-284772013-02-13T13:35:13Z http://irep.iium.edu.my/28477/ Increase in Short Interest and Predictability in Stock Returns (Infiniti 2011) Mohamad, Azhar Aziz, Jaafar Hodgkinson, Lynn Wells, Jo HG4001 Financial management. Business finance. Corporation finance. HG4501 Stocks, investment, speculation This paper, following Diamond and Verrecchia (1987) and Senchack and Starks (1993) questions whether significant negative stock returns follow increases in short interest using a more recent and comprehensive dataset from the UK. In addition, the paper also questions whether increasing levels of short interest lead to increasingly negative returns. Using the UK daily short interest data from the period of September 2003 to April 2010, we find a significant negative relation between increases in short interest and subsequent returns on equal-weighted basis. The results indicate informational content of increases in short interest which is consistent with Diamond and Verrecchia (1987) hypotheses. 2011-06-14 Conference or Workshop Item NonPeerReviewed application/pdf en http://irep.iium.edu.my/28477/4/Increase_in_Short_Interest_and_Predictability_in_Stock_Returns_%28Infiniti_2011%29.pdf application/pdf en http://irep.iium.edu.my/28477/2/Infiniti_2011_Acceptance_Email.pdf application/pdf en http://irep.iium.edu.my/28477/3/INFINITI_2011_Programme_Schedule.pdf Mohamad, Azhar and Aziz, Jaafar and Hodgkinson, Lynn and Wells, Jo (2011) Increase in Short Interest and Predictability in Stock Returns (Infiniti 2011). In: INFINITI Conference on International Finance, 13-14 June 2011, Dublin, Ireland. (Unpublished) http://www.tcd.ie/business/assets/pdfs/DRAFT_INFINITI_2011_Programme_v2.2%5B1%5D.pdf
repository_type	Digital Repository
institution_category	Local University
institution	International Islamic University Malaysia
building	IIUM Repository
collection	Online Access
language	English English English
topic	HG4001 Financial management. Business finance. Corporation finance. HG4501 Stocks, investment, speculation
spellingShingle	HG4001 Financial management. Business finance. Corporation finance. HG4501 Stocks, investment, speculation Mohamad, Azhar Aziz, Jaafar Hodgkinson, Lynn Wells, Jo Increase in Short Interest and Predictability in Stock Returns (Infiniti 2011)
description	This paper, following Diamond and Verrecchia (1987) and Senchack and Starks (1993) questions whether significant negative stock returns follow increases in short interest using a more recent and comprehensive dataset from the UK. In addition, the paper also questions whether increasing levels of short interest lead to increasingly negative returns. Using the UK daily short interest data from the period of September 2003 to April 2010, we find a significant negative relation between increases in short interest and subsequent returns on equal-weighted basis. The results indicate informational content of increases in short interest which is consistent with Diamond and Verrecchia (1987) hypotheses.
format	Conference or Workshop Item
author	Mohamad, Azhar Aziz, Jaafar Hodgkinson, Lynn Wells, Jo
author_facet	Mohamad, Azhar Aziz, Jaafar Hodgkinson, Lynn Wells, Jo
author_sort	Mohamad, Azhar
title	Increase in Short Interest and Predictability in Stock Returns (Infiniti 2011)
title_short	Increase in Short Interest and Predictability in Stock Returns (Infiniti 2011)
title_full	Increase in Short Interest and Predictability in Stock Returns (Infiniti 2011)
title_fullStr	Increase in Short Interest and Predictability in Stock Returns (Infiniti 2011)
title_full_unstemmed	Increase in Short Interest and Predictability in Stock Returns (Infiniti 2011)
title_sort	increase in short interest and predictability in stock returns (infiniti 2011)
publishDate	2011
url	http://irep.iium.edu.my/28477/ http://irep.iium.edu.my/28477/ http://irep.iium.edu.my/28477/4/Increase_in_Short_Interest_and_Predictability_in_Stock_Returns_%28Infiniti_2011%29.pdf http://irep.iium.edu.my/28477/2/Infiniti_2011_Acceptance_Email.pdf http://irep.iium.edu.my/28477/3/INFINITI_2011_Programme_Schedule.pdf
first_indexed	2023-09-18T20:41:59Z
last_indexed	2023-09-18T20:41:59Z
_version_	1777409426312921088

Increase in Short Interest and Predictability in Stock Returns (Infiniti 2011)

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