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.
Short selling, Short-sale Regulations, Market Development, Short-sale Ban
Finance | Finance and Financial Management
BOEHMER, Ekkehart; HUSZAR, Zsuzsa R.; WANG, Yanchu; and WANG, Xiaoyan.
Are shorts equally informed? A global perspective. (2017). Research Collection Lee Kong Chian School Of Business.
Available at: http://ink.library.smu.edu.sg/lkcsb_research/5338
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