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Essays on Short Selling /

紀錄類型:	書目-電子資源 : Monograph/item
正題名/作者:	Essays on Short Selling /Youngkwang Kwon.
作者:	Kwon, Youngkwang,
面頁冊數:	1 electronic resource (135 pages)
附註:	Source: Masters Abstracts International, Volume: 87-03.
附註:	Advisors: Liu, Yi Ian Committee members: Kim, Myungsup; Nishikawa, Takeshi.
Contained By:	Masters Abstracts International87-03.
標題:	Finance.
電子資源:	http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=32290523
ISBN:	9798293820962

Essays on Short Selling /
Kwon, Youngkwang,

Essays on Short Selling /Youngkwang Kwon. - 1 electronic resource (135 pages)

Source: Masters Abstracts International, Volume: 87-03.

This dissertation examines the informational role of short selling in equity markets, with a focus on return predictability and the role of information asymmetry. Through two empirical essays, it explores when and why short interest predicts future stock returns, and how its informativeness varies across firms and market conditions. The first essay studies how short interest's predictive power varies with firm-level information asymmetry. Using a composite index based on analyst forecast dispersion, analyst coverage, bid-ask spread, and firm size, I find that short interest is most predictive of lower returns in opaque firms. Results from portfolio-sorting and Fama- MacBeth regressions support the view that short sellers act on private information, with effects stronger for contemporaneous returns. The second essay takes a time-series approach to assess the link between aggregate short interest and future market returns. While earlier data show strong predictive power, this weakens significantly in the extended sample through 2023. I evaluate modern alternatives-short interest in index-tracking ETFs and loan-based quantities. The findings reveal limited value in SPY-based short interest but highlight the robustness of loan-based aggregate measures, especially at longer horizons. Together, this dissertation contributes to the literature on informed trading by showing that the predictive value of short interest is context-dependent, stronger in firm-specific opaque settings but weaker at the aggregate market level in recent years. These findings highlight the evolving role of short sellers in price discovery and the importance of conditioning empirical analysis on transparency and institutional shifts.

English

ISBN: 9798293820962Subjects--Topical Terms:

183252
Finance.
Subjects--Index Terms:

Short selling

Essays on Short Selling /
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520 $a This dissertation examines the informational role of short selling in equity markets, with a focus on return predictability and the role of information asymmetry. Through two empirical essays, it explores when and why short interest predicts future stock returns, and how its informativeness varies across firms and market conditions. The first essay studies how short interest's predictive power varies with firm-level information asymmetry. Using a composite index based on analyst forecast dispersion, analyst coverage, bid-ask spread, and firm size, I find that short interest is most predictive of lower returns in opaque firms. Results from portfolio-sorting and Fama- MacBeth regressions support the view that short sellers act on private information, with effects stronger for contemporaneous returns. The second essay takes a time-series approach to assess the link between aggregate short interest and future market returns. While earlier data show strong predictive power, this weakens significantly in the extended sample through 2023. I evaluate modern alternatives-short interest in index-tracking ETFs and loan-based quantities. The findings reveal limited value in SPY-based short interest but highlight the robustness of loan-based aggregate measures, especially at longer horizons. Together, this dissertation contributes to the literature on informed trading by showing that the predictive value of short interest is context-dependent, stronger in firm-specific opaque settings but weaker at the aggregate market level in recent years. These findings highlight the evolving role of short sellers in price discovery and the importance of conditioning empirical analysis on transparency and institutional shifts.
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653 $a Short interest
653 $a Return predictability
653 $a Information asymmetry
653 $a Anomaly decay
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710 2 $a University of North Texas. $b Department of Finance, Insurance, Real Estate and Law. $e degree granting institution. $3 1010475
720 1 $a Liu, Yi Ian $e degree supervisor.
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