Are Shorts Equally Informed? A Global Perspective

72 Pages Posted: 3 Oct 2015 Last revised: 3 Oct 2018

See all articles by Ekkehart Boehmer

Ekkehart Boehmer

Singapore Management University - Lee Kong Chian School of Business

Zsuzsa R. Huszar

National University of Singapore

Yanchu Wang

School of Finance - Shanghai University of Finance and Economics

Xiaoyan Zhang

Tsinghua University - PBC School of Finance

Date Written: September 25, 2018

Abstract

We use eight alternative short sale measures to examine the informativeness of short sales in 38 countries for the July 2006 to December 2014 period. We find that the days-to-cover ratio and utilization ratio measures have the most robust predictive power for future stock returns in the global capital market. There are significant cross-country differences in the predictive power of the alternative short sale measures, which is stronger in countries with non-prohibitive short sale regulations and for stocks with relatively low liquidity and low price efficiency.

Keywords: Efficiency, Liquidity, Market Development, Short Sale Regulations, Short Selling

JEL Classification: G14, G12

Suggested Citation

Boehmer, Ekkehart and Huszar, Zsuzsa R. and Wang, Yanchu and Zhang, Xiaoyan, Are Shorts Equally Informed? A Global Perspective (September 25, 2018). Available at SSRN: https://ssrn.com/abstract=2668357 or http://dx.doi.org/10.2139/ssrn.2668357

Ekkehart Boehmer

Singapore Management University - Lee Kong Chian School of Business ( email )

Singapore

Zsuzsa R. Huszar

National University of Singapore ( email )

Business School
15 Kent Ridge Drive
Singapore, 117592
Singapore
+65 6516 8017 (Phone)
+65 6779 2083 (Fax)

Yanchu Wang

School of Finance - Shanghai University of Finance and Economics ( email )

Shanghai, 200433
China

Xiaoyan Zhang (Contact Author)

Tsinghua University - PBC School of Finance ( email )

No. 43, Chengdu Road
Haidian District
Beijing 100083
China

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