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.
School of Business, University of Kansas
EDHEC Business School
Spears School of Business, Oklahoma State University
Mays Business School, Texas A&M University
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.
|Research Cluster :||Finance|