Short Interest and Aggregate Stock Returns

Дата: 
15/10/15
Аномалии: 
Авторы: 
David E. Rapach Matthew C. Ringgenberg Guofu Zhou
Аннотация: 
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 R2 statistics of 12.89% and 13.24%, respectively. In addition, short interest can generate utility gains of over 300 basis points per annum for a mean-variance investor. A vector autoregression decomposition shows that the economic source of short interest’s predictive power stems predominantly from a cash flow channel. Overall, our evidence indicates that short sellers are informed traders who are able to anticipate future aggregate cash flows and associated market returns.
Описание: 

Анализ шорт интереса как предиктора доходности акций. Out-of-sample регрессия дала R2 1.94% при использовании для 1-го месяца и 13.24% для 12 месяцев. Другие интересные показатели дали R2:

  • DP -2.06% (1m); -26.39% (12m)
  • DY -2.2% (1m); -25.82% (12m)
  • NTIS -3.23% (1m); -27.82% (12m).

Кроме того, предложена стратегия инвестирования либо в безрисковый актив или в акции с учетом прогноза по short-interest. Хотя шарп и ничего (0.66 для 1 мес, 0.53 для 12 мес), но доходность низкая - 3-4%. По остальным предикторам еще хуже.