University of Twente Student Theses
The effect of short interest on the subsequent stock performance in NASDAQ-100 companies
Schindler, D (2015) The effect of short interest on the subsequent stock performance in NASDAQ-100 companies.
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Abstract: | This quantitative paper investigates the relationship between the short interest ratio and abnormal return of an underlying security on a monthly basis. Short interest data for a 36-month period from January 2012 through December 2014 from NASDAQ-100 companies were used to examine the expected negative relationship. The results however do not support the expectations by stating a significant positive relationship following the ‘contrarian view’. An increase of the short interest ratio of 1% leads to a 60 basis points gain in abnormal returns. The relationship becomes even stronger by another 16 basis points after introducing the control variable firm size measured by the market capitalization. |
Item Type: | Essay (Bachelor) |
Faculty: | BMS: Behavioural, Management and Social Sciences |
Subject: | 85 business administration, organizational science |
Programme: | International Business Administration BSc (50952) |
Link to this item: | https://purl.utwente.nl/essays/67202 |
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