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
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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/
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spelling my.iium.irep.284652021-07-23T07:18:16Z 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.
institution Universiti Islam Antarabangsa Malaysia
building IIUM Library
collection Institutional Repository
continent Asia
country Malaysia
content_provider International Islamic University Malaysia
content_source IIUM Repository (IREP)
url_provider http://irep.iium.edu.my/
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/28465/1/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/
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