The Information Content of Short Sales

摘要: Short interest in a stock is the aggregate number of shares that have been sold short and not yet covered. There has long-running debate over whether contains valuable information about stock's future performance. Weak-form market efficiency suggests competitive trading should erode any content signal. However, Wall Street analysts traditionally viewed high as bullish technical indicator since covering positions creates upward price pressure recalls squeezes may force premature coverage positions. Alternatively, academic studies find short-sale constraints clearly result overpricing predicts negative returns, consistent with theories developed by Edward Miller 1977 Douglas Diamond Robert Verrecchia 1987, respectively. Miller's theory divergent opinions lead to overpricing, while Verrecchia's predict an unexpected increase bad news it indicates higher proportion past sales, than previously realized, came from presumably more-informed sellers. Thus, analysts' traditional view relies on reversion prices back, up, mean, academics' bearish sellers' profits come taking advantage back down mean. Keywords: short interest; relative interest; determinants interest; costs selling; short-sale constraints; short squeeze; recall; rebate rate; overvaluation; market