Short Interest, Macroeconomic Variables and Aggregate Stock Returns

2019 ◽  
Author(s):  
Richard Priestley
Keyword(s):  
Stock Returns ◽  
Macroeconomic Variables ◽  
Short Interest

Short Interest and Aggregate Stock Returns

CFA Digest ◽  
2016 ◽  
Vol 46 (12) ◽  
Author(s):  
Nitin Joshi
Keyword(s):  
Stock Returns ◽  
Short Interest

Why Do Short Interest Levels Predict Stock Returns?

2007 ◽  
Author(s):  
Ekkehart Boehmer ◽  
Bilal Erturk ◽  
Sorin M. Sorescu
Keyword(s):  
Stock Returns ◽  
Short Interest ◽  
Interest Levels

The Impact of Economic Sentiment, Consumer, Producer and Investor's Confidence Indices on Stock Returns of the Listed Companies in FTSE-20 in Greece

2018 ◽  
pp. 162-209
Author(s):  
Constantine Cantzos ◽  
Petros Kalantonis ◽  
Aristidis Papagrigoriou ◽  
Stefanos Theotokas
Keyword(s):  
Stock Returns ◽  
Risk Premium ◽  
Macroeconomic Variables ◽  
Production Index ◽  
Behavioral Indicators ◽  
Portfolio Returns ◽  
Long Run ◽  
Short Run ◽  
The Impact ◽  
The Relationship

This chapter examines the relationship between stock returns of companies listed in the FTSE-20 on the Athens Exchange and behavioral indicators. The research is based on the behavioral APT model, which examines stock returns' risk factors through the involvement of macroeconomic variables and behavioral indicators. The data is the closing price of 17 shares listed in the FTSE-20 index, a number of macroeconomic variables, and a series of behavioral indicators for the period of January 2001-December 2014. Regressions were conducted with dependent variable stock returns of a portfolio invested equally in these 17 stocks. In addition, the research tests the existence of long-run and short-run equilibrium and causality. The change in the industrial production index along with the risk premium have a positive and significant impact on the portfolio returns. Johansen's test showed that there is a long-run equilibrium between stock returns, macroeconomic variables, and behavioral indicators. The VECM and VAR models showed that there is not long and short-run causality, not even Granger causality. No similar research has been conducted in Greece, thus it fills a literature gap.

Daily short interest, idiosyncratic risk, and stock returns

2009 ◽  
Vol 12 (2) ◽  
pp. 290-316 ◽  
Author(s):  
Andrea S. Au ◽  
John A. Doukas ◽  
Zhan Onayev
Keyword(s):  
Stock Returns ◽  
Idiosyncratic Risk ◽  
Short Interest
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