Short-Sale Restrictions and Market Reaction to Short-Interest Announcements
研究发现卖空量意外增加会引发短期小幅负异常回报，且该效应在无期权股票中更显著，有期权股票则不明显。
According to the Diamond-Verrecchia hypothesis, if increases in short interest are correlated with information that is not yet public, they should precipitate a price adjustment. Stocks with unexpected increases in short interest are found to generate statistically significant, but small, negative abnormal returns for a short period around the announcement date. When the sample is divided into stocks with and without tradable options, nonoptioned stocks closely mimic these results but the optioned stocks do not. In a cross-sectional analysis of individual firms, the short-term negative abnormal returns are found to be 1) more negative, the higher the degree of unexpected short interest and, 2) less negative if the firm has tradable options.