Short Interest, Returns, and Unfavorable Fundamental Information
研究发现空头头寸在信息公开前数月就包含公司价值相关信息，能预测未来坏消息、负面盈利意外和分析师盈利预测下调，且对卖空难度大的股票预测力更强。
Several months before information becomes public, the level of short interest contains value‐relevant information about publicly traded corporations. Short interest predicts future bad news, negative earnings surprises, and downward revisions in analyst earnings forecasts. This informational content is stronger for stocks that are harder to short. We also find that nearly half of the well‐known cross‐sectional relation between short interest and future stock returns is related to future changes in firms’ value‐relevant information. Our results suggest that short interest predicts future returns, in part, due to short sellers’ ability to uncover unfavorable information about firms.