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

Copyright Owner and License

Authors

Additional URL

https://doi.org/10.1093/rfs/hhab079

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