%0 Journal Article %1 rapach2015short %A Rapach, David %A Ringgenberg, Matthew C. %A Zhou, Guofu %D 2015 %I SSRN %J SSRN eLibrary %K markets quantfinance shorting %R 10.2139/ssrn.2474930 %T Short Interest and Aggregate Stock Returns %X We show that short interest is arguably the strongest known predictor of aggregate stock returns. It outperforms a host of popular return predictors both in sample and out of sample, with annual R-squared statistics of 13% and 11%, respectively. In addition, short interest can generate utility gains of over 300 basis points per annum for a mean-variance investor. A vector autoregression decomposition shows that the economic source of short interest’s predictive power stems predominantly from a cash flow channel. Overall, our evidence indicates that short sellers are informed traders who anticipate future aggregate cash flows and associated market returns.

@article{rapach2015short, abstract = {We show that short interest is arguably the strongest known predictor of aggregate stock returns. It outperforms a host of popular return predictors both in sample and out of sample, with annual R-squared statistics of 13% and 11%, respectively. In addition, short interest can generate utility gains of over 300 basis points per annum for a mean-variance investor. A vector autoregression decomposition shows that the economic source of short interest’s predictive power stems predominantly from a cash flow channel. Overall, our evidence indicates that short sellers are informed traders who anticipate future aggregate cash flows and associated market returns.}, added-at = {2015-03-10T00:02:05.000+0100}, author = {Rapach, David and Ringgenberg, Matthew C. and Zhou, Guofu}, biburl = {https://www.bibsonomy.org/bibtex/2c644f5d34bfb84c56b8e86ae73ca4971/shabbychef}, description = {Short Interest and Aggregate Stock Returns by David Rapach, Matthew Ringgenberg, Guofu Zhou :: SSRN}, doi = {10.2139/ssrn.2474930}, interhash = {ebff3490d3125516ad341860a24a0b86}, intrahash = {c644f5d34bfb84c56b8e86ae73ca4971}, journal = {SSRN eLibrary}, keywords = {markets quantfinance shorting}, language = {English}, location = {http://ssrn.com/paper=2474930}, publisher = {SSRN}, timestamp = {2015-03-10T00:02:05.000+0100}, title = {{Short Interest and Aggregate Stock Returns}}, type = {Working Paper Series}, year = 2015 }