Short Interest and Aggregate Stock Returns

David E. Rapach Matthew C. Ringgenberg Guofu Zhou
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.

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.