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Short interest, returns, and fundamentals
Ferhat Akbas, Ekkehart Boehmer, Bilal Erturk, Sorin Sorescu: This study show that short interest predicts stock returns because short sellers are able to anticipate bad news, negative earnings surprises, and downward revisions in analyst earnings forecasts.
Author(s) :
School of Business, University of Kansas
EDHEC Business School
Spears School of Business, Oklahoma State University
Mays Business School, Texas A&M University
Presentation :
They appear to have information about these events several months before they become public. Most importantly, the cross-sectional relation between short interest and future stock returns vanishes when controlling for short sellers’ information about future fundamental news. Thus, short sellers contribute, in a significant manner, to price discovery about firm fundamentals, but the source of their information remains an open question.| Type : | Working paper |
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| Date : | le 04/02/2013 |
| Extra information : | For more information, please contact EDHEC Research and Development Department [ research@drd.edhec.edu ] |
| Research Cluster : | Finance |
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About EDHEC
Located in Lille, Nice, Paris, London and Singapore, EDHEC is one of the 20 best business schools in the world. Resolutely international and directly connected to the world of business, it is known for the excellence of its research and its capacity to train entrepreneurs and managers able to move the lines.
A true laboratory of ideas, it produces innovative solutions recognized by companies.
Her research is irrigating her teaching based on "build people to build business" and "learning by doing".
