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@techreport{NBERw10218,
 title = "Aggregate Short Interest and Market Valuations",
 author = "Lamont, Owen A and Stein, Jeremy C",
 institution = "National Bureau of Economic Research",
 type = "Working Paper",
 series = "Working Paper Series",
 number = "10218",
 year = "2004",
 month = "January",
 doi = {10.3386/w10218},
 URL = "http://www.nber.org/papers/w10218",
 abstract = {We examine some basic data on the evolution of aggregate short interest, both during the dot-com era, and at other times in history. Total short interest moves in a countercyclical fashion. For example, short interest in NASDAQ stocks actually declines as the NASDAQ index approaches its peak. Moreover, this decline does not seem to reflect a substitution away from outright short-selling and towards put options, as the ratio of put-to-call volume displays the same countercyclical tendency. The evidence suggests that: i) arbitrageurs are reluctant to bet against aggregate mispricings; and ii) short-selling does not play a particularly helpful role in stabilizing the overall stock market.},
}