Short Interest, Returns, and Unfavorable Fundamental Information
Abstract
Several months before information becomes public, the level of short interest contains value‐relevant information about publicly traded corporations. Short interest predicts future bad news, negative earnings surprises, and downward revisions in analyst earnings forecasts. This informational content is stronger for stocks that are harder to short. We also find that nearly half of the well‐known cross‐sectional relation between short interest and...
Paper Details
Title
Short Interest, Returns, and Unfavorable Fundamental Information
Published Date
Sep 22, 2016
Journal
Volume
46
Issue
2
Pages
455 - 486
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