Should Investors Follow the Prophets or the Bears? Evidence on the Use of Public Information by Analysts and Short Sellers
研究发现卖空者能有效利用预测未来收益的信息，而分析师常推荐高增长、高应计项目股票，这些特征反而预示低收益；基于卖空信息与分析师推荐反向操作的策略月均超额收益1.11%。
ABSTRACT: We investigate whether short sellers and analysts differ in their use of information that is predictive of future returns. We find that short interest is significantly associated in the expected direction with all 11 variables examined. In contrast, analysts tend to positively recommend stocks with high growth, high accruals, and low book-to-market ratios, despite these variables having a negative association with future returns. We then investigate the profitability of using short interest in trading. We find abnormal returns (1.11 percent per month) from a zero-investment strategy that (1) shorts firms with highly favorable analyst recommendations (buy signal) but high short interest (sell signal), and (2) buys firms with highly unfavorable analyst recommendations (sell signal) but low short interest (buy signal). Short interest, therefore, appears to capture predictive information that can be used by investors in trading against analysts’ recommendations to increase returns.