Abstract

http://ssrn.com/abstract=525623
 
 

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Short Interest, Institutional Ownership, and Stock Returns


Paul Asquith


Massachusetts Institute of Technology (MIT) - Economics, Finance, Accounting (EFA); National Bureau of Economic Research (NBER)

Parag Pathak


Massachusetts Institute of Technology (MIT) - Department of Economics

Jay R. Ritter


University of Florida - Department of Finance, Insurance and Real Estate

December 20, 2004


Abstract:     
Stocks are short sale constrained when there is a strong demand to sell short and a limited supply of shares to borrow. Using data on both short interest, a proxy for demand, and institutional ownership, a proxy for supply, we find that constrained stocks underperform during 1988-2002 by a significant 215 basis points per month on an EW basis, although by only an insignificant 39 basis points per month on a VW basis. For the overwhelming majority of stocks, short interest and institutional ownership levels make short selling constraints unlikely.

Number of Pages in PDF File: 45

Keywords: Short Sales, Limits to Arbitrage, Short Selling

JEL Classification: G12, G14

working papers series


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Date posted: April 6, 2004  

Suggested Citation

Asquith, Paul and Pathak, Parag and Ritter, Jay R., Short Interest, Institutional Ownership, and Stock Returns (December 20, 2004). Available at SSRN: http://ssrn.com/abstract=525623 or http://dx.doi.org/10.2139/ssrn.525623

Contact Information

Paul Asquith
Massachusetts Institute of Technology (MIT) - Economics, Finance, Accounting (EFA) ( email )
77 Massachusetts Avenue
Cambridge, MA 02139-4307
United States
National Bureau of Economic Research (NBER)
1050 Massachusetts Avenue
Cambridge, MA 02138
United States
Parag Pathak
Massachusetts Institute of Technology (MIT) - Department of Economics ( email )
50 Memorial Drive
E52-391
Cambridge, MA 02142
United States
Jay R. Ritter (Contact Author)
University of Florida - Department of Finance, Insurance and Real Estate ( email )
P.O. Box 117168
Gainesville, FL 32611
United States
(352) 846-2837 (Phone)
(352) 392-0301 (Fax)
HOME PAGE: http://bear.cba.ufl.edu/ritter
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