TY  - JOUR
AU  - Asquith,Paul
AU  - Pathak,Parag A.
AU  - Ritter,Jay R.
TI  - Short Interest and Stock Returns
JF  - National Bureau of Economic Research Working Paper Series
VL  - No. 10434
PY  - 2004
Y2  - April 2004
UR  - http://www.nber.org/papers/w10434
L1  - http://www.nber.org/papers/w10434.pdf
N1  - Author contact info:
Paul Asquith
MIT Sloan School of Management
100 Main Street, E62-660
Cambridge, MA 02142
Tel: 617/253-7177
Fax: 617/253-0603
E-Mail: pasquith@mit.edu

Parag Pathak
MIT Department of Economics
50 Memorial Drive
E52-391C
Cambridge, MA 02142
Tel: 617/253-7458
E-Mail: ppathak@mit.edu

Jay Ritter
Department of Finance
School of Business
University of Florida
P.O. Box 117168
Gainsville, FL 32611-7168
Tel: 352/846-2837
E-Mail: jay.ritter@cba.ufl.edu
AB  - Using a longer time period and both NYSE-Amex and Nasdaq stocks, this paper examines short interest and stock returns in more detail than any previous study and finds that many documented patterns are not robust. While equally weighted high short interest portfolios generally underperform, value weighted portfolios do not. In addition, there is a negative correlation between market returns and short interest over our whole period. Finally, inferences from short time periods, such as 1988-1994 when the underperformance of high short interest stocks was exceptional or 1995-2002, when high short interest Nasdaq stocks did not underperform, are misleading.
ER  -