An Investigation of the Informational Role of Short Interest in the Nasdaq Market
研究1988至1994年纳斯达克市场卖空比例与股票回报的关系，发现卖空比例高的公司月均负异常回报达0.76%至1.13%，且卖空比例越高，看跌信号越强，这类公司也更易退市。
ABSTRACT This paper examines the relationship between the level of short interest and stock returns in the Nasdaq market from June 1988 through December 1994. We find that heavily shorted firms experience significant negative abnormal returns ranging from −0.76 to −1.13 percent per month after controlling for the market, size, book‐to‐market, and momentum factors. These negative returns increase with the level of short interest, indicating that a higher level of short interest is a stronger bearish signal. We find that heavily shorted firms are more likely to be delisted compared to their size, book‐to‐market, and momentum matched control firms.