Increase in Short Interest and Predictability in Stock Returns (Infiniti 2011)
This paper, following Diamond and Verrecchia (1987) and Senchack and Starks (1993) questions whether significant negative stock returns follow increases in short interest using a more recent and comprehensive dataset from the UK. In addition, the paper also questions whether increasing levels of sho...
| Main Authors: | , , , |
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| Format: | Proceeding Paper |
| Language: | English English English |
| Published: |
2011
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| Subjects: | |
| Online Access: | http://irep.iium.edu.my/28477/ http://irep.iium.edu.my/28477/4/Increase_in_Short_Interest_and_Predictability_in_Stock_Returns_%28Infiniti_2011%29.pdf http://irep.iium.edu.my/28477/2/Infiniti_2011_Acceptance_Email.pdf http://irep.iium.edu.my/28477/3/INFINITI_2011_Programme_Schedule.pdf |
| _version_ | 1848779971236986880 |
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| author | Mohamad, Azhar Aziz, Jaafar Hodgkinson, Lynn Wells, Jo |
| author_facet | Mohamad, Azhar Aziz, Jaafar Hodgkinson, Lynn Wells, Jo |
| author_sort | Mohamad, Azhar |
| building | IIUM Repository |
| collection | Online Access |
| description | This paper, following Diamond and Verrecchia (1987) and Senchack and Starks (1993) questions whether significant negative stock returns follow increases in short interest using a more recent and comprehensive dataset from the UK. In addition, the paper also questions whether increasing levels of short interest lead to increasingly negative returns. Using the UK daily short interest data from the period of September 2003 to April 2010, we find a significant negative relation between increases in short interest and subsequent returns on equal-weighted basis. The results indicate informational content of increases in short interest which is consistent with Diamond and Verrecchia (1987) hypotheses. |
| first_indexed | 2025-11-14T15:26:15Z |
| format | Proceeding Paper |
| id | iium-28477 |
| institution | International Islamic University Malaysia |
| institution_category | Local University |
| language | English English English |
| last_indexed | 2025-11-14T15:26:15Z |
| publishDate | 2011 |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | iium-284772021-07-23T07:19:33Z http://irep.iium.edu.my/28477/ Increase in Short Interest and Predictability in Stock Returns (Infiniti 2011) Mohamad, Azhar Aziz, Jaafar Hodgkinson, Lynn Wells, Jo HG4001 Financial management. Business finance. Corporation finance. HG4501 Stocks, investment, speculation This paper, following Diamond and Verrecchia (1987) and Senchack and Starks (1993) questions whether significant negative stock returns follow increases in short interest using a more recent and comprehensive dataset from the UK. In addition, the paper also questions whether increasing levels of short interest lead to increasingly negative returns. Using the UK daily short interest data from the period of September 2003 to April 2010, we find a significant negative relation between increases in short interest and subsequent returns on equal-weighted basis. The results indicate informational content of increases in short interest which is consistent with Diamond and Verrecchia (1987) hypotheses. 2011-06-14 Proceeding Paper NonPeerReviewed application/pdf en http://irep.iium.edu.my/28477/4/Increase_in_Short_Interest_and_Predictability_in_Stock_Returns_%28Infiniti_2011%29.pdf application/pdf en http://irep.iium.edu.my/28477/2/Infiniti_2011_Acceptance_Email.pdf application/pdf en http://irep.iium.edu.my/28477/3/INFINITI_2011_Programme_Schedule.pdf Mohamad, Azhar and Aziz, Jaafar and Hodgkinson, Lynn and Wells, Jo (2011) Increase in Short Interest and Predictability in Stock Returns (Infiniti 2011). In: INFINITI Conference on International Finance, 13-14 June 2011, Dublin, Ireland. (Unpublished) http://www.tcd.ie/business/assets/pdfs/DRAFT_INFINITI_2011_Programme_v2.2%5B1%5D.pdf |
| spellingShingle | HG4001 Financial management. Business finance. Corporation finance. HG4501 Stocks, investment, speculation Mohamad, Azhar Aziz, Jaafar Hodgkinson, Lynn Wells, Jo Increase in Short Interest and Predictability in Stock Returns (Infiniti 2011) |
| title | Increase in Short Interest and Predictability in Stock Returns
(Infiniti 2011) |
| title_full | Increase in Short Interest and Predictability in Stock Returns
(Infiniti 2011) |
| title_fullStr | Increase in Short Interest and Predictability in Stock Returns
(Infiniti 2011) |
| title_full_unstemmed | Increase in Short Interest and Predictability in Stock Returns
(Infiniti 2011) |
| title_short | Increase in Short Interest and Predictability in Stock Returns
(Infiniti 2011) |
| title_sort | increase in short interest and predictability in stock returns
(infiniti 2011) |
| topic | HG4001 Financial management. Business finance. Corporation finance. HG4501 Stocks, investment, speculation |
| url | http://irep.iium.edu.my/28477/ http://irep.iium.edu.my/28477/ http://irep.iium.edu.my/28477/4/Increase_in_Short_Interest_and_Predictability_in_Stock_Returns_%28Infiniti_2011%29.pdf http://irep.iium.edu.my/28477/2/Infiniti_2011_Acceptance_Email.pdf http://irep.iium.edu.my/28477/3/INFINITI_2011_Programme_Schedule.pdf |