Short Interest: Explanations and Tests
通过横截面和时间序列检验，从税收、套利和投机角度解释空头头寸的水平与变化，发现季节性模式、高贝塔股票和可转换证券的存在与空头头寸正相关，且期权未平仓量与空头头寸月度变化正相关。
Cross-sectional and time series tests are performed to explain levels and changes in short interest. Explanatory variables and tests are chosen based on tax, arbitrage, and speculative reasons for going short. Short interest is found to follow a seasonal pattern that is weakly consistent with tax-based trading. Stocks with high betas and the existence of convertible securities or options tend to have higher levels of short interest, which is con? sistent with arbitrage efforts. For firms with traded options, there is a positive association between the month-to-month changes in option open interest and short interest. Prior months' returns and changes in short interest are positively related, but there is no rela? tionship between changes in short interest and returns in the subsequent month.