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  • 2017 Fall: Volume 16, Issue 1
  • Do Daily Short Sales Forecast S&P 500 Sector Returns?

    • Leslie Boni ;
    • Mary Anne Majadillas

    Use this link to view the PDF file: Do Daily Short Sales Forecast S&P 500 Sector Returns?

    Title:

    Do Daily Short Sales Forecast S&P 500 Sector Returns?

    Author(s):

    Leslie Boni
    Mary Anne Majadillas

    Publication Date:

    2017

    Journal Title:

    The Journal of Finance Issues

    Volume Number:

    16

    Issue Number:

    1

    Abstract:

    We examine the data for S&P 500 firms for 2009 to 2012 to determine whether daily short selling, aggregated at the industry sector level, forecasts relative returns. Prior research documents short sellers as skilled fundamental analysts and information processors at the individual security level and in aggregate as forecasters of short-term market direction. Intriguingly, we find not only that sector-aggregated daily short sale information does not correctly forecast the short-term relative performance of industry sectors but rather that some contrarian strategies that are short the least shorted sectors and long the most shorted sectors are profitable on average.

    First Page:

    1

    Last Page:

    16

    Total Pages:

    16