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Informational content of short interest (EBES 2011)

This paper examines the information content of short interest by examining whether firms that experience significant increase in short interest subsequently experience negative returns. Using the UK daily short interest data from the period of September 2003 to April 2010, we find a significant cumu...

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Main Author: Mohamad, Azhar
Format: Conference or Workshop Item
Language:English
English
English
Published: 2011
Subjects:
HG4001 Financial management. Business finance. Corporation finance.
HG4501 Stocks, investment, speculation
Online Access:http://irep.iium.edu.my/28466/4/informational_content_of_short_interest_%28EB%C2%A3S_2011%29.pdf
http://irep.iium.edu.my/28466/2/EBES_Acceptance_Letter_Azhar_Mohamad.pdf
http://irep.iium.edu.my/28466/3/EBES_2011_program_details.pdf
http://irep.iium.edu.my/28466/
http://www.ebesweb.org/Conferences/EBES-2011-Conference-Istanbul.aspx
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spelling my.iium.irep.284662021-07-23T07:19:05Z http://irep.iium.edu.my/28466/ Informational content of short interest (EBES 2011) Mohamad, Azhar HG4001 Financial management. Business finance. Corporation finance. HG4501 Stocks, investment, speculation This paper examines the information content of short interest by examining whether firms that experience significant increase in short interest subsequently experience negative returns. Using the UK daily short interest data from the period of September 2003 to April 2010, we find a significant cumulative average abnormal return post-publication of short interest data. We also find the larger the increase in short interest, the more negative is the abnormal returns. The results indicate informational content of short interest which is consistent with Diamond and Verrecchia (1987) hypotheses. 2011-06-01 Conference or Workshop Item NonPeerReviewed application/pdf en http://irep.iium.edu.my/28466/4/informational_content_of_short_interest_%28EB%C2%A3S_2011%29.pdf application/pdf en http://irep.iium.edu.my/28466/2/EBES_Acceptance_Letter_Azhar_Mohamad.pdf application/pdf en http://irep.iium.edu.my/28466/3/EBES_2011_program_details.pdf Mohamad, Azhar (2011) Informational content of short interest (EBES 2011). In: Euroasia Business and Economics Society (EBES) Conference, Istanbul, Turkey, 1-3 June 2011, Istanbul< Turkey. (Unpublished) http://www.ebesweb.org/Conferences/EBES-2011-Conference-Istanbul.aspx
institution Universiti Islam Antarabangsa Malaysia
building IIUM Library
collection Institutional Repository
continent Asia
country Malaysia
content_provider International Islamic University Malaysia
content_source IIUM Repository (IREP)
url_provider http://irep.iium.edu.my/
language English
English
English
topic HG4001 Financial management. Business finance. Corporation finance.
HG4501 Stocks, investment, speculation
spellingShingle HG4001 Financial management. Business finance. Corporation finance.
HG4501 Stocks, investment, speculation
Mohamad, Azhar
Informational content of short interest (EBES 2011)
description This paper examines the information content of short interest by examining whether firms that experience significant increase in short interest subsequently experience negative returns. Using the UK daily short interest data from the period of September 2003 to April 2010, we find a significant cumulative average abnormal return post-publication of short interest data. We also find the larger the increase in short interest, the more negative is the abnormal returns. The results indicate informational content of short interest which is consistent with Diamond and Verrecchia (1987) hypotheses.
format Conference or Workshop Item
author Mohamad, Azhar
author_facet Mohamad, Azhar
author_sort Mohamad, Azhar
title Informational content of short interest (EBES 2011)
title_short Informational content of short interest (EBES 2011)
title_full Informational content of short interest (EBES 2011)
title_fullStr Informational content of short interest (EBES 2011)
title_full_unstemmed Informational content of short interest (EBES 2011)
title_sort informational content of short interest (ebes 2011)
publishDate 2011
url http://irep.iium.edu.my/28466/4/informational_content_of_short_interest_%28EB%C2%A3S_2011%29.pdf
http://irep.iium.edu.my/28466/2/EBES_Acceptance_Letter_Azhar_Mohamad.pdf
http://irep.iium.edu.my/28466/3/EBES_2011_program_details.pdf
http://irep.iium.edu.my/28466/
http://www.ebesweb.org/Conferences/EBES-2011-Conference-Istanbul.aspx
_version_ 1706956491237359616
score 13.211869

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