Can Shorts Predict Returns? A Global Perspective
研究了2006年7月至2014年12月38个国家中多种卖空指标对未来股票回报的预测能力，发现天数和利用率指标最稳健，且预测力受国家监管和股票流动性等因素影响。
Abstract Using multiple short-sale measures, we examine the predictive power of short sales for future stock returns in 38 countries from July 2006 to December 2014. We find that the days-to-cover ratio and the utilization ratio measures have the most robust predictive power for future stock returns in the global capital market. Our results display significant cross-country and cross-firm differences in the predictive power of alternative short-sale measures. The predictive power of shorts is stronger in countries with nonprohibitive short sale regulations and for stocks with relatively low liquidity, high shorting fees, and low price efficiency.