Short Interest and Stock Returns

Paul Asquith, Parag Pathak and Jay R. Ritter

No 10434, NBER Working Papers from National Bureau of Economic Research, Inc

Abstract: Using a longer time period and both NYSE-Amex and Nasdaq stocks, this paper examines short interest and stock returns in more detail than any previous study and finds that many documented patterns are not robust. While equally weighted high short interest portfolios generally underperform, value weighted portfolios do not. In addition, there is a negative correlation between market returns and short interest over our whole period. Finally, inferences from short time periods, such as 1988-1994 when the underperformance of high short interest stocks was exceptional or 1995-2002, when high short interest Nasdaq stocks did not underperform, are misleading.

JEL-codes: G12 G14 (search for similar items in EconPapers)
Date: 2004-04
New Economics Papers: this item is included in nep-fin and nep-fmk
Note: CF AP
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (4)

Published as Asquith, Paul, Parag A. Pathak and Jay R. Ritter. "Short Interest, Institutional Ownership, And Stock Returns," Journal of Financial Economics, 2005, v78(2,Nov), 243-276.

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