Short Interest and Aggregate Stock Returns: International Evidence
研究发现，在32个国家中有24个国家的卖空兴趣能显著负向预测股票市场整体回报，这种预测能力在样本外测试中依然存在，且不受经济衰退影响，但会随时间和地区变化。
Abstract I find that short interest significantly and negatively predicts aggregate stock returns in 24 of 32 countries examined. This predictability survives out-of-sample tests, persists outside of recessions, and is not subsumed by other well-known return predictors. The results indicate that short interest contains valuable information for forecasting international market returns that is distinct and more powerful than that of other available predictors. However, the predictive power of short interest varies over time and across regions. It is higher around economic downturns when margin requirements tighten and in regions where short selling is constrained by regulations or equity lending market frictions. Authors have furnished an Internet Appendix, which is available on the Oxford University Press Web site next to the link to the final published paper online.