Informational content of short interest (EBES 2011)
This paper examines the information content of short interest by examining whether firms that experience significant increase in short interest subsequently experience negative returns. Using the UK daily short interest data from the period of September 2003 to April 2010, we find a significant cumu...
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| Format: | Proceeding Paper |
| Language: | English English English |
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2011
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| Online Access: | http://irep.iium.edu.my/28466/ http://irep.iium.edu.my/28466/4/informational_content_of_short_interest_%28EB%C2%A3S_2011%29.pdf http://irep.iium.edu.my/28466/2/EBES_Acceptance_Letter_Azhar_Mohamad.pdf http://irep.iium.edu.my/28466/3/EBES_2011_program_details.pdf |
| _version_ | 1848779969565556736 |
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| author | Mohamad, Azhar |
| author_facet | Mohamad, Azhar |
| author_sort | Mohamad, Azhar |
| building | IIUM Repository |
| collection | Online Access |
| description | This paper examines the information content of short interest by examining whether firms that experience significant increase in short interest subsequently experience negative returns. Using the UK daily short interest data from the period of September 2003 to April 2010, we find a significant cumulative average abnormal return post-publication of short interest data. We also find the larger the increase in short interest, the more negative is the abnormal returns. The results indicate informational content of short interest which is consistent with Diamond and Verrecchia (1987) hypotheses. |
| first_indexed | 2025-11-14T15:26:13Z |
| format | Proceeding Paper |
| id | iium-28466 |
| institution | International Islamic University Malaysia |
| institution_category | Local University |
| language | English English English |
| last_indexed | 2025-11-14T15:26:13Z |
| publishDate | 2011 |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | iium-284662021-07-23T07:19:05Z http://irep.iium.edu.my/28466/ Informational content of short interest (EBES 2011) Mohamad, Azhar HG4001 Financial management. Business finance. Corporation finance. HG4501 Stocks, investment, speculation This paper examines the information content of short interest by examining whether firms that experience significant increase in short interest subsequently experience negative returns. Using the UK daily short interest data from the period of September 2003 to April 2010, we find a significant cumulative average abnormal return post-publication of short interest data. We also find the larger the increase in short interest, the more negative is the abnormal returns. The results indicate informational content of short interest which is consistent with Diamond and Verrecchia (1987) hypotheses. 2011-06-01 Proceeding Paper NonPeerReviewed application/pdf en http://irep.iium.edu.my/28466/4/informational_content_of_short_interest_%28EB%C2%A3S_2011%29.pdf application/pdf en http://irep.iium.edu.my/28466/2/EBES_Acceptance_Letter_Azhar_Mohamad.pdf application/pdf en http://irep.iium.edu.my/28466/3/EBES_2011_program_details.pdf Mohamad, Azhar (2011) Informational content of short interest (EBES 2011). In: Euroasia Business and Economics Society (EBES) Conference, Istanbul, Turkey, 1-3 June 2011, Istanbul< Turkey. (Unpublished) http://www.ebesweb.org/Conferences/EBES-2011-Conference-Istanbul.aspx |
| spellingShingle | HG4001 Financial management. Business finance. Corporation finance. HG4501 Stocks, investment, speculation Mohamad, Azhar Informational content of short interest (EBES 2011) |
| title | Informational content of short interest (EBES 2011) |
| title_full | Informational content of short interest (EBES 2011) |
| title_fullStr | Informational content of short interest (EBES 2011) |
| title_full_unstemmed | Informational content of short interest (EBES 2011) |
| title_short | Informational content of short interest (EBES 2011) |
| title_sort | informational content of short interest (ebes 2011) |
| topic | HG4001 Financial management. Business finance. Corporation finance. HG4501 Stocks, investment, speculation |
| url | http://irep.iium.edu.my/28466/ http://irep.iium.edu.my/28466/ http://irep.iium.edu.my/28466/4/informational_content_of_short_interest_%28EB%C2%A3S_2011%29.pdf http://irep.iium.edu.my/28466/2/EBES_Acceptance_Letter_Azhar_Mohamad.pdf http://irep.iium.edu.my/28466/3/EBES_2011_program_details.pdf |