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| Author: | Brent, A. Morse, D. Stice, E.K. |
| Title: | Short interest: explanations and tests |
| Journal: | Journal of Financial and Quantitative Analysis
1990 : JUNE, VOL. 25:2, p. 273-289 |
| Index terms: | TERM STRUCTURE OF INTEREST RATES ARBITRAGE PRICING THEORY TAXATION |
| Language: | eng |
| Abstract: | Study of time series and cross-sectional tests to examine levels and changes in short interest, with explanatory variables on tax, arbitrage and speculative reasons for going short. Institutional procedures of short selling. Prior research and hypotheses. Tax motivations. Arbitrage and hedging. Speculation and short interest. Sample. Tests and results. Tax effects. Cross sectional tests. Short interest, open interest of options and stock returns. 6 Tables and a Figure illustrate the study. |
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