Informed Trading or Limits of Arbitrage: What Does High Short Interest Imply?

2010 ◽  
Author(s):  
Zsuzsa R. Huszar
Keyword(s):  
Informed Trading ◽  
Short Interest

Publicizing Arbitrage

2020 ◽  
pp. 1-32
Author(s):  
Bige Kahraman
Keyword(s):  
Informed Trading ◽  
Securities Markets ◽  
Public Disclosure ◽  
Short Sales ◽  
Price Efficiency ◽  
Short Sellers ◽  
Limits To Arbitrage ◽  
Short Interest ◽  
Production Of Information

How does greater public disclosure of arbitrage activity and informed trading affect price efficiency? To answer this, we exploit rule amendments in U.S. securities markets, which impose a higher frequency of public disclosure of short positions. Higher public disclosure can hurt the production of information and deteriorate efficiency, or it can be beneficial by mitigating the limits to arbitrage and diffusing arbitrageurs’ information faster. With more frequent disclosure, information encapsulated within short interest is incorporated into prices faster, improving price efficiency. We find important reductions in short sellers’ horizon risk and increases in short sales with the rule amendments.

Innovation and Informed Trading: Evidence from Industry ETFs

2020 ◽  
Author(s):  
Shiyang Huang ◽  
Maureen O’Hara ◽  
Zhuo Zhong
Keyword(s):  
Market Efficiency ◽  
Hedge Fund ◽  
Informed Trading ◽  
Risk Exposure ◽  
Exchange Traded Funds ◽  
Post Earnings Announcement Drift ◽  
Earnings Surprises ◽  
Short Interest ◽  
The Impact ◽  
Industry Risk

Abstract We empirically examine the impact of industry exchange-traded funds (IETFs) on informed trading and market efficiency. We find that IETF short interest spikes simultaneously with hedge fund holdings on the member stock before positive earnings surprises, reflecting long-the-stock/short-the-ETF activity. This pattern is stronger among stocks with high industry risk exposure. A difference-in-difference analysis on the ETF inception event shows that IETFs reduce post-earnings-announcement drift more among stocks with high industry risk exposure, suggesting that IETFs improve market efficiency. We also find that the short interest ratio of IETFs positively predicts IETF returns, consistent with the hedging role of IETFs.

Does High Short Interest Lead Underperformance?

CFA Digest ◽  
2002 ◽  
Vol 32 (1) ◽  
pp. 81-82
Author(s):  
Frank T. Magiera
Keyword(s):  
Short Interest

Short Interest, Institutional Ownership, and Stock Returns

CFA Digest ◽  
2006 ◽  
Vol 36 (2) ◽  
pp. 100-101
Author(s):  
Stephen M. Horan
Keyword(s):  
Stock Returns ◽  
Institutional Ownership ◽  
Short Interest

Short Interest and Aggregate Stock Returns

CFA Digest ◽  
2016 ◽  
Vol 46 (12) ◽  
Author(s):  
Nitin Joshi
Keyword(s):  
Stock Returns ◽  
Short Interest

The Short Interest—A False Proverb

1966 ◽  
Vol 22 (4) ◽  
pp. 111-116 ◽  
Author(s):  
Barton M. Biggs
Keyword(s):  
Short Interest

Why Do Short Interest Levels Predict Stock Returns?

2007 ◽  
Author(s):  
Ekkehart Boehmer ◽  
Bilal Erturk ◽  
Sorin M. Sorescu
Keyword(s):  
Stock Returns ◽  
Short Interest ◽  
Interest Levels

Clean Sweep: Informed Trading Through Intermarket Sweep Orders

2009 ◽  
Author(s):  
Sugato Chakravarty ◽  
Pankaj K. Jain ◽  
Robert A. Wood ◽  
James Upson
Keyword(s):  
Informed Trading
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