Abstract
- This study estimates expected short interest for Nasdaq stocks. Extending prior work, our research is among the first to investigate the impact of ownership structure on short-selling activity. Short interest is negatively related to institutional ownership and positively related to inside ownership. Stocks with greater liquidity and smaller relative spreads are more heavily shorted. We also develop a measure of the unanticipated level of short selling; relative to the reported amount of short interest, this unexpected level of short selling seems at first to better represent the opinions of informed investors engaging in costly short-selling activities. However, the power of the unanticipated level of short-selling factor is displaced when we make allowances for traditional market, firm-size, and momentum variables. (JEL G12, G14)