| Popis: |
We show that short interest predicts future bad news, negative earnings surprises, and downward revisions in analyst earnings forecasts. Moreover, short interest is a better predictor of changes in firm fundamentals for stocks that are harder to short and short sellers appear to have information about these events several months before they become public. Most importantly, the well-known cross-sectional relation between short interest and future stock returns vanishes after controlling for short sellers’ information about future fundamental news. Thus, short sellers contribute in a significant manner to price discovery about firm fundamentals. |
