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Short Interest and the Cross-Section of S&P500 Share Returns
This study aims to investigate the cross-sectional relationship between short interest and excess returns of the constituent securities of the Standard and Poor's 500 Index on a monthly basis. Short interest data is defined in relation to both trading volume and equity float for an 84-month period b...
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| Format: | Thesis |
| Language: | English |
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Department of Finance and Tax
2023
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| _version_ | 1867613172143226880 |
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| access_status_str | Open Access |
| author | Cumming, Kyle |
| author2 | van Rensburg, Paul |
| author_browse | Cumming, Kyle van Rensburg, Paul |
| author_facet | van Rensburg, Paul Cumming, Kyle |
| author_sort | Cumming, Kyle |
| collection | Thesis |
| description | This study aims to investigate the cross-sectional relationship between short interest and excess returns of the constituent securities of the Standard and Poor's 500 Index on a monthly basis. Short interest data is defined in relation to both trading volume and equity float for an 84-month period between January 2015 and December 2021 to examine the expected negative relationship. The use of the Fama-Macbeth (1973) method produces mixed empirical findings. The results of the short interest ratio do not support the findings of prior research, finding no significant relationship between the two variables. The short float ratio, however, produces a significantly positive relationship at the 10% level, supporting the “contrarian view”. An increase in the short float ratio of 1% leads to a 19.6 basis point increase in excess return in the subsequent month. Overall, our results for the short interest ratio support the efficient market hypothesis. In contrast, the short float ratio serves as a bullish indicator. |
| format | Thesis |
| id | oai:open.uct.ac.za:11427/37170 |
| institution | University of Cape Town (South Africa) |
| language | eng |
| last_indexed | 2026-06-10T12:31:54.917Z |
| license_str | Not specified — see source repository |
| provenance_str_mv | Harvested via OAI-PMH from UCTD — University of Cape Town Open Access Repository |
| publishDate | 2023 |
| publishDateRange | 2023 |
| publishDateSort | 2023 |
| publisher | Department of Finance and Tax |
| publisherStr | Department of Finance and Tax |
| record_format | dspace |
| source_str | UCTD — University of Cape Town Open Access Repository |
| spelling | oai:open.uct.ac.za:11427/37170 Short Interest and the Cross-Section of S&P500 Share Returns Cumming, Kyle van Rensburg, Paul Investment Management This study aims to investigate the cross-sectional relationship between short interest and excess returns of the constituent securities of the Standard and Poor's 500 Index on a monthly basis. Short interest data is defined in relation to both trading volume and equity float for an 84-month period between January 2015 and December 2021 to examine the expected negative relationship. The use of the Fama-Macbeth (1973) method produces mixed empirical findings. The results of the short interest ratio do not support the findings of prior research, finding no significant relationship between the two variables. The short float ratio, however, produces a significantly positive relationship at the 10% level, supporting the “contrarian view”. An increase in the short float ratio of 1% leads to a 19.6 basis point increase in excess return in the subsequent month. Overall, our results for the short interest ratio support the efficient market hypothesis. In contrast, the short float ratio serves as a bullish indicator. 2023-03-03T08:38:45Z 2023-03-03T08:38:45Z 2022 2023-02-20T12:30:19Z Master Thesis Masters MCom http://hdl.handle.net/11427/37170 eng application/pdf Department of Finance and Tax Faculty of Commerce |
| spellingShingle | Investment Management Cumming, Kyle Short Interest and the Cross-Section of S&P500 Share Returns |
| thesis_degree_str | Master's |
| title | Short Interest and the Cross-Section of S&P500 Share Returns |
| title_full | Short Interest and the Cross-Section of S&P500 Share Returns |
| title_fullStr | Short Interest and the Cross-Section of S&P500 Share Returns |
| title_full_unstemmed | Short Interest and the Cross-Section of S&P500 Share Returns |
| title_short | Short Interest and the Cross-Section of S&P500 Share Returns |
| title_sort | short interest and the cross section of s p500 share returns |
| topic | Investment Management |
| url | http://hdl.handle.net/11427/37170 |
| work_keys_str_mv | AT cummingkyle shortinterestandthecrosssectionofsp500sharereturns |