Are shorts equally informed? A global perspective

Author

Ekkehart BOEHMER, Singapore Management UniversityFollow
Zsuzsa R. HUSZAR
Yanchu WANG
Xiaoyan WANG

Publication Type

Working Paper

Version

publishedVersion

Publication Date

1-2017

Abstract

Short selling predicts future stock returns globally. We use 11 short-sale measures to examine the informativeness of short sales in 38 countries for the July 2006 to December 2014 period. We find that different short-sale measures display different return predictability. The days-to-cover ratio and loan supply measures have the most robust predictive power in the global capital market. We also document significant cross-country differences in the predictive power of the short selling measures and find that return predictability is stronger in countries with mild forms of short-sale restrictions, better market quality, and more developed markets.

Keywords

Short selling, Short-sale Regulations, Market Development, Short-sale Ban

Discipline

Finance | Finance and Financial Management

Research Areas

Finance

Identifier

10.2139/ssrn.2668357

Publisher

SSRN

Citation

BOEHMER, Ekkehart; HUSZAR, Zsuzsa R.; WANG, Yanchu; and WANG, Xiaoyan. Are shorts equally informed? A global perspective. (2017).
Available at: https://ink.library.smu.edu.sg/lkcsb_research/5338

Creative Commons License

This work is licensed under a Creative Commons Attribution-NonCommercial-No Derivative Works 4.0 International License.

Additional URL

https://doi.org/10.2139/ssrn.2668357