Surprise in short interest
通过剔除卖空数据中的截面分布差异，提取卖空活动的新闻成分，发现卖空兴趣的意外成分能负向预测美国及国际股票收益，且该预测力源于知情交易和投资者锚定偏差。
We extract the news component of short-selling activity by accounting for important cross-sectional, distributional differences in short interest data. The resulting measure of surprise in short interest negatively predicts the cross section of both U.S. and international equity returns. Our results also indicate that this predictability originates from short sellers’ informed trading on mispricing and investors’ underreaction due to their anchoring on past short interest. Finally, consistent with the notion of costly arbitrage, the return predictability is stronger among illiquid, volatile stocks and stocks with high information uncertainty, but importantly, unrelated to short-selling frictions.