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Short Interest and Aggregate Stock Returns-Rapach Et Al - Jfe 2016 by uselessuseful685 is a document available to read on EtoBox.
What is Short Interest and Aggregate Stock Returns-Rapach Et Al - Jfe 2016 about?
The paper demonstrates that short interest is a significant predictor of aggregate stock returns, outperforming various popular predictors with annual R2 statistics of 12.89% and 13.24%. It suggests that short sellers possess informed trading advantages, primarily predicting future cash flows, which leads to substantial utility gains for investors. The findings indicate that short interest reflects market pessimism and can effectively forecast future market movements.
- Author
- uselessuseful685
- Language
- EN