Can Shorts Predict Returns? A Global Perspective

Ekkehart Boehmer, Zsuzsa R Huszár, Yanchu Wang, Xiaoyan Zhang () and Xinran Zhang

The Review of Financial Studies, 2022, vol. 35, issue 5, 2428-2463

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.

JEL-codes: G12 G14 (search for similar items in EconPapers)
Date: 2022
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Citations: View citations in EconPapers (11)

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