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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:http://purl.utwente.nl/essays/67202
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