| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w10434 |
| 来源ID | Working Paper 10434 |
| Short Interest and Stock Returns | |
| Paul Asquith; Parag A. Pathak; Jay R. Ritter | |
| 发表日期 | 2004-04-19 |
| 出版年 | 2004 |
| 语种 | 英语 |
| 摘要 | Using a longer time period and both NYSE-Amex and Nasdaq stocks, this paper examines short interest and stock returns in more detail than any previous study and finds that many documented patterns are not robust. While equally weighted high short interest portfolios generally underperform, value weighted portfolios do not. In addition, there is a negative correlation between market returns and short interest over our whole period. Finally, inferences from short time periods, such as 1988-1994 when the underperformance of high short interest stocks was exceptional or 1995-2002, when high short interest Nasdaq stocks did not underperform, are misleading. |
| 主题 | Financial Economics ; Portfolio Selection and Asset Pricing ; Financial Markets |
| URL | https://www.nber.org/papers/w10434 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/568063 |
| 推荐引用方式 GB/T 7714 | Paul Asquith,Parag A. Pathak,Jay R. Ritter. Short Interest and Stock Returns. 2004. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w10434.pdf（277KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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