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An investigation of the informational role of short interest in the nasdaq market
This paper examines the relationship between the level of short interest and stock returns in the nasdaq market from June 1988 through Desember 1994. We find that heavily shorted firms experience significant negative abnormal returns ranging from -0,76 to 1,13 percent per month after controlling for the market, size, book-to-market, and momentum factors. These negative returns increase with the level of short interest, indicating that a higher level of short interest is a stronger bearish signal..Printed Journal
Ketersediaan
| Call Number | Location | Available |
|---|---|---|
| PSB lt.dasar - Pascasarjana | 1 |
| Penerbit | : The American Finance Association |
|---|---|
| Edisi | - |
| Subjek | - |
| ISBN/ISSN | 00221082 |
| Klasifikasi | - |
| Deskripsi Fisik | - |
| Info Detail Spesifik | - |
| Other Version/Related | Tidak tersedia versi lain |
| Lampiran Berkas | Tidak Ada Data |