Publication Type
Journal Article
Version
submittedVersion
Publication Date
5-2022
Abstract
Using multiple short-sale measures, we examine the predictive power of short sales for future stock returns in 38 countries from July 2006 to December 2014. We find that the days-to-cover ratio and the utilization ratio measures have the most robust predictive power for future stock returns in the global capital market. Our results display significant cross-country and cross-firm differences in the predictive power of alternative short-sale measures. The predictive power of shorts is stronger in countries with nonprohibitive short sale regulations and for stocks with relatively low liquidity, high shorting fees, and low price efficiency.
Keywords
stock price efficiency, liquidity, market development, short sale regulation, short selling
Discipline
Finance and Financial Management | Portfolio and Security Analysis
Research Areas
Finance
Publication
Review of Financial Studies
Volume
35
Issue
5
First Page
2428
Last Page
2463
ISSN
0893-9454
Identifier
10.1093/rfs/hhab079
Publisher
Oxford University Press (OUP): Policy F - Oxford Open Option D
Citation
BOEHMER, Ekkehart; HUSZAR, Zsuzsa R.; WANG, Yanchu; ZHANG, Xiaoyan; and ZHANG, Xinran.
Can shorts predict returns? A global perspective. (2022). Review of Financial Studies. 35, (5), 2428-2463.
Available at: https://ink.library.smu.edu.sg/lkcsb_research/7006
Copyright Owner and License
Authors
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/10.1093/rfs/hhab079