This paper explores the relationship between levels of short selling and stock prices in the U.S. securities market. The calculations are based on a dataset that contains company information from the three major domestic exchanges (NYSE, NASDAQ, and AMEX) and spans a two-year period from January 2015 to January 2017. If short sellers are the informed traders they are said to be, short interest should be a negative predictor of stock price. For the NYSE, an increase in short interest is negatively correlated with share price in the following month, but this finding does not hold at the aggregate level. Firms with increased short interest and low institutional ownership are more likely to have negative price movements in the subsequent month.
The author has given permission for this work to be deposited in the Digital Archive of Colorado College.
Colorado College Honor Code upheld.
Includes bibliographical references.
The author has given permission for this work to be deposited in the Digital Archive of Colorado College.
Colorado College Honor Code upheld.
