Short selling and stock returns: evidence from the UK

This paper examines the information content of short interest by investigating whether firms that experience significant daily increases in short interest subsequently experience negative abnormal returns. Using UK daily short interest data for the period September 2003 to April 2010, we find a si...

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Main Authors:	Mohamad, Azhar, Jaafar , Aziz, Hodgkinson , Lynn, Wells, Jo
Format:	Conference or Workshop Item
Language:	English English English English English English English
Published:	2011
Subjects:	HG4001 Financial management. Business finance. Corporation finance. HG4501 Stocks, investment, speculation
Online Access:	http://irep.iium.edu.my/28465/ http://irep.iium.edu.my/28465/1/ASBES_Kuching_2011_Short_Selling_Stock_Returns.pdf http://irep.iium.edu.my/28465/2/Asbes.pdf http://irep.iium.edu.my/28465/3/Asbes_Invitation_Letter.pdf http://irep.iium.edu.my/28465/4/ASBES2011_Program_Schedule.pdf http://irep.iium.edu.my/28465/5/INFINITI_2011_Programme_Schedule.pdf http://irep.iium.edu.my/28465/6/Gregynog_2011_programme.pdf http://irep.iium.edu.my/28465/7/EBES_2011_program_details.pdf

id	iium-28465
recordtype	eprints
spelling	iium-284652013-02-13T13:50:02Z http://irep.iium.edu.my/28465/ Short selling and stock returns: evidence from the UK Mohamad, Azhar Jaafar , Aziz Hodgkinson , Lynn Wells, Jo HG4001 Financial management. Business finance. Corporation finance. HG4501 Stocks, investment, speculation This paper examines the information content of short interest by investigating whether firms that experience significant daily increases in short interest subsequently experience negative abnormal returns. Using UK daily short interest data for the period September 2003 to April 2010, we find a significant negative cumulative average abnormal return of 1.48% for valuation short stocks for the first 15 days post-publication of short interest data. This result suggests that short interest has informational content consistent with the Diamond and Verrecchia (1987) hypothesis: unusually large increases in short interest are followed by periods of negative abnormal returns. 2011 Conference or Workshop Item NonPeerReviewed application/pdf en http://irep.iium.edu.my/28465/1/ASBES_Kuching_2011_Short_Selling_Stock_Returns.pdf application/pdf en http://irep.iium.edu.my/28465/2/Asbes.pdf application/pdf en http://irep.iium.edu.my/28465/3/Asbes_Invitation_Letter.pdf application/pdf en http://irep.iium.edu.my/28465/4/ASBES2011_Program_Schedule.pdf application/pdf en http://irep.iium.edu.my/28465/5/INFINITI_2011_Programme_Schedule.pdf application/pdf en http://irep.iium.edu.my/28465/6/Gregynog_2011_programme.pdf application/pdf en http://irep.iium.edu.my/28465/7/EBES_2011_program_details.pdf Mohamad, Azhar and Jaafar , Aziz and Hodgkinson , Lynn and Wells, Jo (2011) Short selling and stock returns: evidence from the UK. In: Annual Submit on Business and Entrepreneurial Studues - ASBES 2011, 17-18 October 2011, Kuching, Sarawak.
repository_type	Digital Repository
institution_category	Local University
institution	International Islamic University Malaysia
building	IIUM Repository
collection	Online Access
language	English English English English English English English
topic	HG4001 Financial management. Business finance. Corporation finance. HG4501 Stocks, investment, speculation
spellingShingle	HG4001 Financial management. Business finance. Corporation finance. HG4501 Stocks, investment, speculation Mohamad, Azhar Jaafar , Aziz Hodgkinson , Lynn Wells, Jo Short selling and stock returns: evidence from the UK
description	This paper examines the information content of short interest by investigating whether firms that experience significant daily increases in short interest subsequently experience negative abnormal returns. Using UK daily short interest data for the period September 2003 to April 2010, we find a significant negative cumulative average abnormal return of 1.48% for valuation short stocks for the first 15 days post-publication of short interest data. This result suggests that short interest has informational content consistent with the Diamond and Verrecchia (1987) hypothesis: unusually large increases in short interest are followed by periods of negative abnormal returns.
format	Conference or Workshop Item
author	Mohamad, Azhar Jaafar , Aziz Hodgkinson , Lynn Wells, Jo
author_facet	Mohamad, Azhar Jaafar , Aziz Hodgkinson , Lynn Wells, Jo
author_sort	Mohamad, Azhar
title	Short selling and stock returns: evidence from the UK
title_short	Short selling and stock returns: evidence from the UK
title_full	Short selling and stock returns: evidence from the UK
title_fullStr	Short selling and stock returns: evidence from the UK
title_full_unstemmed	Short selling and stock returns: evidence from the UK
title_sort	short selling and stock returns: evidence from the uk
publishDate	2011
url	http://irep.iium.edu.my/28465/ http://irep.iium.edu.my/28465/1/ASBES_Kuching_2011_Short_Selling_Stock_Returns.pdf http://irep.iium.edu.my/28465/2/Asbes.pdf http://irep.iium.edu.my/28465/3/Asbes_Invitation_Letter.pdf http://irep.iium.edu.my/28465/4/ASBES2011_Program_Schedule.pdf http://irep.iium.edu.my/28465/5/INFINITI_2011_Programme_Schedule.pdf http://irep.iium.edu.my/28465/6/Gregynog_2011_programme.pdf http://irep.iium.edu.my/28465/7/EBES_2011_program_details.pdf
first_indexed	2023-09-18T20:41:58Z
last_indexed	2023-09-18T20:41:58Z
_version_	1777409425253859328

Short selling and stock returns: evidence from the UK

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