Short Interest and Aggregate Stock Returns: International Evidence

IF 2.2 Q2 BUSINESS, FINANCE

Review of Asset Pricing Studies Pub Date : 2023-04-17 DOI:10.1093/rapstu/raad007

Arseny Gorbenko

引用次数: 0

Abstract

I find that short interest significantly and negatively predicts aggregate stock returns in 24 of 32 countries examined. This predictability survives out-of-sample tests, persists outside of recessions, and is not subsumed by other well-known return predictors. The results indicate that short interest contains valuable information for forecasting international market returns that is distinct and more powerful than that of other available predictors. However, the predictive power of short interest varies over time and across regions. It is higher around economic downturns when margin requirements tighten and in regions where short selling is constrained by regulations or equity lending market frictions.

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短期权益和股票总收益:国际证据

我发现，在所调查的32个国家中，有24个国家的空头对股票总回报率有显著的负向预测。这种可预测性经受住了样本外测试，在经济衰退之外持续存在，并且不被其他众所周知的回报预测指标所包含。结果表明，短期利率包含了预测国际市场收益的有价值的信息，这些信息比其他可用的预测因素更明显、更有力。然而，卖空的预测能力因时间和地区而异。在经济低迷时期，当保证金要求收紧时，以及在卖空受到监管或股票贷款市场摩擦限制的地区，这一比例会更高。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Review of Asset Pricing Studies BUSINESS, FINANCE-

CiteScore

19.80

自引率

0.80%

发文量

期刊介绍： The Review of Asset Pricing Studies (RAPS) is a journal that aims to publish high-quality research in asset pricing. It evaluates papers based on their original contribution to the understanding of asset pricing. The topics covered in RAPS include theoretical and empirical models of asset prices and returns, empirical methodology, macro-finance, financial institutions and asset prices, information and liquidity in asset markets, behavioral investment studies, asset market structure and microstructure, risk analysis, hedge funds, mutual funds, alternative investments, and other related topics. Manuscripts submitted to RAPS must be exclusive to the journal and should not have been previously published. Starting in 2020, RAPS will publish three issues per year, owing to an increasing number of high-quality submissions. The journal is indexed in EconLit, Emerging Sources Citation IndexTM, RePEc (Research Papers in Economics), and Scopus.