haku: @indexterm RATE OF RETURN / yhteensä: 621
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| Tekijä: | Desai, H. (et al.) |
| Otsikko: | An investigation of the informational role of short interest in the Nasdaq market |
| Lehti: | Journal of Finance
2002 : OCT, VOL. 57:5, p. 2263-2287 |
| Asiasana: | Stock markets Interest rates Rate of return Return on investment |
| Kieli: | eng |
| Tiivistelmä: | The authors examine the relationship between the level of short interest and stock returns in the Nasdaq market 1988-1994. They find that heavily shorted firms experience significant negative abnormal returns ranging from -0.76 to -1.13 percent per month after controlling for the market, size, book-to-market, 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. The authors 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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