Predictability of short interest ratio of stock return – Evidence from Taiwan Stock Market

Abstract

This paper studies the relationship between short interest ratio and subsequent stock return in Taiwan stock market I find that short interest ratio is negatively related to subsequent stock returns and the result is statistically and economically significant More importantly the effects are long-lasting This evidence suggests that short sellers in Taiwan tend to be informed In addition short interest ratio has stronger predictability when short sale constraints are loosened considerably Moreover stocks with high short interest ratio have weak fundamentals and high turnover implying that short sellers detect not only intrinsic value but also market's sentiment for stocks

Date of Award	2017 Jun 21
Original language	English
Supervisor	Ping-Hsun Huang (Supervisor)