Short selling and stock returns: evidence from the UK
This paper examines the information content of short interest by investigating whether firms that experience significant daily increases in short interest subsequently experience negative abnormal returns. Using UK daily short interest data for the period September 2003 to April 2010, we find a si...
| Main Authors: | , , , |
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| Format: | Proceeding Paper |
| Language: | English English English English English English English |
| Published: |
2011
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| Subjects: | |
| Online Access: | http://irep.iium.edu.my/28465/ http://irep.iium.edu.my/28465/1/ASBES_Kuching_2011_Short_Selling_Stock_Returns.pdf http://irep.iium.edu.my/28465/2/Asbes.pdf http://irep.iium.edu.my/28465/3/Asbes_Invitation_Letter.pdf http://irep.iium.edu.my/28465/4/ASBES2011_Program_Schedule.pdf http://irep.iium.edu.my/28465/5/INFINITI_2011_Programme_Schedule.pdf http://irep.iium.edu.my/28465/6/Gregynog_2011_programme.pdf http://irep.iium.edu.my/28465/7/EBES_2011_program_details.pdf |
| _version_ | 1848779969257275392 |
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| author | Mohamad, Azhar Jaafar , Aziz Hodgkinson , Lynn Wells, Jo |
| author_facet | Mohamad, Azhar Jaafar , Aziz Hodgkinson , Lynn Wells, Jo |
| author_sort | Mohamad, Azhar |
| building | IIUM Repository |
| collection | Online Access |
| description | This paper examines the information content of short interest by investigating whether firms
that experience significant daily increases in short interest subsequently experience negative
abnormal returns. Using UK daily short interest data for the period September 2003 to April 2010, we find a significant negative cumulative average abnormal return of 1.48% for valuation short stocks for the first 15 days post-publication of short interest data. This result
suggests that short interest has informational content consistent with the Diamond and Verrecchia (1987) hypothesis: unusually large increases in short interest are followed by periods of negative abnormal returns. |
| first_indexed | 2025-11-14T15:26:13Z |
| format | Proceeding Paper |
| id | iium-28465 |
| institution | International Islamic University Malaysia |
| institution_category | Local University |
| language | English English English English English English English |
| last_indexed | 2025-11-14T15:26:13Z |
| publishDate | 2011 |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | iium-284652021-07-23T07:18:16Z http://irep.iium.edu.my/28465/ Short selling and stock returns: evidence from the UK Mohamad, Azhar Jaafar , Aziz Hodgkinson , Lynn Wells, Jo HG4001 Financial management. Business finance. Corporation finance. HG4501 Stocks, investment, speculation This paper examines the information content of short interest by investigating whether firms that experience significant daily increases in short interest subsequently experience negative abnormal returns. Using UK daily short interest data for the period September 2003 to April 2010, we find a significant negative cumulative average abnormal return of 1.48% for valuation short stocks for the first 15 days post-publication of short interest data. This result suggests that short interest has informational content consistent with the Diamond and Verrecchia (1987) hypothesis: unusually large increases in short interest are followed by periods of negative abnormal returns. 2011 Proceeding Paper NonPeerReviewed application/pdf en http://irep.iium.edu.my/28465/1/ASBES_Kuching_2011_Short_Selling_Stock_Returns.pdf application/pdf en http://irep.iium.edu.my/28465/2/Asbes.pdf application/pdf en http://irep.iium.edu.my/28465/3/Asbes_Invitation_Letter.pdf application/pdf en http://irep.iium.edu.my/28465/4/ASBES2011_Program_Schedule.pdf application/pdf en http://irep.iium.edu.my/28465/5/INFINITI_2011_Programme_Schedule.pdf application/pdf en http://irep.iium.edu.my/28465/6/Gregynog_2011_programme.pdf application/pdf en http://irep.iium.edu.my/28465/7/EBES_2011_program_details.pdf Mohamad, Azhar and Jaafar , Aziz and Hodgkinson , Lynn and Wells, Jo (2011) Short selling and stock returns: evidence from the UK. In: Annual Submit on Business and Entrepreneurial Studues - ASBES 2011, 17-18 October 2011, Kuching, Sarawak. |
| spellingShingle | HG4001 Financial management. Business finance. Corporation finance. HG4501 Stocks, investment, speculation Mohamad, Azhar Jaafar , Aziz Hodgkinson , Lynn Wells, Jo Short selling and stock returns: evidence from the UK |
| title | Short selling and stock returns: evidence from the UK |
| title_full | Short selling and stock returns: evidence from the UK |
| title_fullStr | Short selling and stock returns: evidence from the UK |
| title_full_unstemmed | Short selling and stock returns: evidence from the UK |
| title_short | Short selling and stock returns: evidence from the UK |
| title_sort | short selling and stock returns: evidence from the uk |
| topic | HG4001 Financial management. Business finance. Corporation finance. HG4501 Stocks, investment, speculation |
| url | http://irep.iium.edu.my/28465/ http://irep.iium.edu.my/28465/1/ASBES_Kuching_2011_Short_Selling_Stock_Returns.pdf http://irep.iium.edu.my/28465/2/Asbes.pdf http://irep.iium.edu.my/28465/3/Asbes_Invitation_Letter.pdf http://irep.iium.edu.my/28465/4/ASBES2011_Program_Schedule.pdf http://irep.iium.edu.my/28465/5/INFINITI_2011_Programme_Schedule.pdf http://irep.iium.edu.my/28465/6/Gregynog_2011_programme.pdf http://irep.iium.edu.my/28465/7/EBES_2011_program_details.pdf |