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| Author: | Asquith, P. Pathak, P.A. Ritter, J.R. |
| Title: | Short interest, institutional ownership, and stock returns |
| Journal: | Journal of Financial Economics
2005 : NOV, VOL. 78:2, p. 243-276 |
| Index terms: | institutional investors return on investment stock ownership |
| Freeterms: | short interest |
| Language: | eng |
| Abstract: | Stocks are short-sale constrained when there is a strong demand to sell short and limited supply of shares to borrow. Data on both short interest (a proxy for demand) and institutional ownership are used and it is found that constrained stocks underperform during the period 1988-2002 by a significant 215 basis points per month on an equally weighted bases, although by only an insignificant 39 basis points per month on a value-weighted basis. |
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