Short Interest and Frictions in the Flow of Information
研究了卖空兴趣与股价信息延迟的关系，发现卖空者能减少信息融入股价的摩擦，且卖空兴趣越高，延迟对未来收益的正向预测能力越弱。
This paper examines the correlation between short interest and price delay that parsimoniously measures the delay with which stock prices incorporate information. I find that price delay relates inversely to short interest indicating that short sellers reduce friction in the flow of information into stock prices. While price delay is shown to predict positive returns, this is mostly true in stocks with the least amount of short interest. Multivariate tests determine that the positive relationship between delay and future returns is decreasing in short interest. Results suggest that short sellers reduce delay and arbitrage the return premium commanded by delay.