Do Specialists' Short Sales Predict Returns?

5 Pages Posted: 19 May 2006

See all articles by Lyle Bowlin

Lyle Bowlin

University of Iowa

Michael S. Rozeff

SUNY at Buffalo - Department of Financial & Managerial Economics

Abstract

This paper provides evidence of a market inefficiency. Between 1942 and 1984, the specialists' short sales ratio has foretold periods of higher and lower returns on the New York Stock Exchange. Average stock returns have been significantly higher after low values of the ratio (marking low short sales by specialists) and significantly lower after high values of the ratio. Not only has the market been strong-form inefficient but these data have been publicly available with a slight lag, indicating semi-strong form inefficiency.

Keywords: market inefficiency, abnormal returns, specialist short sales

JEL Classification: G14

Suggested Citation

Bowlin, Lyle and Rozeff, Michael S., Do Specialists' Short Sales Predict Returns?. Journal of Portfolio Management, pp. 59-63, Spring 1987. Available at SSRN: https://ssrn.com/abstract=903407

Lyle Bowlin (Contact Author)

University of Iowa ( email )

Melrose and Byington
Iowa City, IA 52242
United States

Michael S. Rozeff

SUNY at Buffalo - Department of Financial & Managerial Economics ( email )

Buffalo, NY 14260
United States

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