题目: Understanding the Information Content of Short Interests
演讲者：Dr. Zhou Xin, Assistant Professor of Finance, Fudan University
时间: 2009年12月4日（星期五）3:00—4:30PM
地点: 嘉庚二501
参加者: 对财务研究有兴趣的广大师生
主持人： 沈哲老师
论文摘要：
Existing studies have debated on the information content and the predictive power on future stock returns of short interests!athe number of share of a stock sold short. We explore a unique institutional feature on the time lag between monthly recording of short interests and their public release to examine the information content and the predictive power of short interests. Using a matching approach, we find that the impact of the negative information content of short interests is more pronounced than previously documented, but only exists in the period before the short interest data is publicly released. Upon public release, short interests have no significant predictive power on future stock returns. Moreover, much of the previously documented negative abnormal return of themost heavily shorted portfolio formed on published short interests is largely due to the liquidity risk. In order to better reveal the potential negative information in short sale activities while considering the short sale constraints, we propose the binding ratio-a ratio between the short interest and the institutional ownership. We find that both short interest and binding ratio are closely related to forthcoming negative earnings surprises in the following month. However, only binding ratio reflect other potential negative information.
论文作者简介：
Dr. Zhou is an Assistant Professor of Finance at Fudan University. His research interests include short sales, private equity fund, and international financial markets. Dr. Zhou received his Ph.D in finance in 2008 from the University of Texas at Dallas, and his bachelor degree and master degree in Physics from the University of Science and Technology of China in 1995 and 1998, respectively.
下载：论文.pdf