Implications for Enhanced Portfolio Performance Based on the Information Content of Short Interest

12 Pages Posted: 11 Sep 2011

See all articles by Glen A. Larsen

Glen A. Larsen

Indiana University - Kelley School of Business - Department of Finance

Steven L. Jones

Indiana University - Kelley School of Business - Department of Finance

Date Written: August 1, 2007

Abstract

In this paper, we review the mean-variance portfolio theory literature that supports short selling as an active portfolio management tool and the empirical literature that provides evidence of active short sellers having superior information about overpriced securities. What may not be clear is exactly how that information can be detected and analyzed. We, therefore, review the theoretical and empirical literature that investigates the information content of short interest. Finally, we document several methods used by portfolio managers to target short sale candidates.

Keywords: short selling, short interest, active portfolio management

JEL Classification: G10

Suggested Citation

Larsen, Glen A. and Jones, Steven L., Implications for Enhanced Portfolio Performance Based on the Information Content of Short Interest (August 1, 2007). Available at SSRN: https://ssrn.com/abstract=1925451 or http://dx.doi.org/10.2139/ssrn.1925451

Glen A. Larsen (Contact Author)

Indiana University - Kelley School of Business - Department of Finance ( email )

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Steven L. Jones

Indiana University - Kelley School of Business - Department of Finance ( email )

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