Short selling and stock returns: evidence from the UK

• 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/28465/1/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; http://irep.iium.edu.my/28465/

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...