Shorting Demand and Predictability of Returns
Journal of Investment Management; 2009 1st Quarter, Vol. 7 Issue 1, p36-52
Posted: 28 May 2016
Date Written: 2009
The article presents a study on the association between shorting activity and future stock returns in the equities market, with the use of proprietary stock loan fees and quantities dataset. Results showed that the separation of supply and demand shifts offer a better view of the information incorporated in the securities lending market, and shorting demand increases predict negative abnormal returns the following month. The study suggests that understanding the dynamics of the securities lending market is important in making better forecasts of future stock returns.
Keywords: Stocks, Marketing, Returns on Sales, Loans, Demand (Economic Theory), Economic Forecasting, Loan Servicing -- Costs, Securities, Supply & Demand
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