Are Shorts Equally Informed? A Global Perspective
72 Pages Posted: 3 Oct 2015 Last revised: 3 Oct 2018
Date Written: September 25, 2018
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: Suggested Citation