Ringgenberg, and Guofu Zhou, 2016, Short interest and aggregate stock returns, Journal of Financial Economics , Forthcoming.Rapach, E. David, Matthew C. Ringgenberg, and Guofu Zhou. 2016. Short Interest and Aggregate Stock Returns. Journal of Financial Economics 121: 46-65....
We show that short interest is arguably the strongest known predictor of aggregate stock returns. It outperforms a host of popular return predictors both in and out of sample, with annual R 2 statistics of 12.89% and 13.24%, respectively. In addition, short interest can generate utility gains...
(2016) find similar results for aggregate short interest. In particular, they show that detrended aggregate short interest predicts market returns and that this predictability stems from the cash flow channel.1 Although it has been shown that the level of short selling predicts both stock returns ...
Thus, most existing tests focus on how to identify and measure the extent of short-sales constraints in major markets. Figlewski (1981) tests the effect of short-sales constraints by looking at the relationship between the level of short interest and subsequent stock returns. His tests assume ...
Based on the time series data from 2012Q1 to 2017Q2 in China,this paper builds VAR model to empirically study the long-term equilibrium and short-term dynamic relationship between aggregate financing and financing structure and real economic growth. The results indicate that there is a long-term...
Furthermore, some measures of monetary aggregates tend to dominate the interest rate as robust causal variables for output growth and inflation. However, the authors do not find strong evidence in favour of the Phillips curve and the Taylor rule. Finally, for both Canada and the United States,...
s because they are long-dated assets. So the revenues and profits that they expect to have are going to be 10, 15 years away. And when you value a company, you discount those cash flows from the future to today. And if the interest rate is bigger, that number is going to end up ...
Short-term investments include savings accounts, money market funds, certificates of deposit (CDs), and short-term bonds. Interest rates may continue moving lower, making this a good time to look for relatively high yields. To decide where to put your cash, you need to consider your goals, ...
$1.415840 trillion in daily reverse repo operations awarded at 0.05% interest to 92 Participants, setting another new all-time high. https://fred.stlouisfed.org/series/RRPONTSYD https://stocksera.pythonanywhere.com/reverse_repo/ https://www.reddit.com/r/Superstonk/comments/py09f7/daily_reverse...
Breadth of ownership and stock returns J. Financial Econ. (2002) D. Duffie et al. Securities lending, shorting and pricing J. Financial Econ. (2002) G. D’Avolio The market for borrowing stock J. Financial Econ. (2002) F. Akbas et al. Why do Short Interest Levels Predict Stock Return...