Short interest ratio and institutional ownership: quantitative investment strategy with short-sale constrained stocks
Autor(a) principal: | |
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Data de Publicação: | 2021 |
Tipo de documento: | Dissertação |
Idioma: | eng |
Título da fonte: | Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
Texto Completo: | http://hdl.handle.net/10362/140493 |
Resumo: | Papers on short-sale constrained stocks suggest that they underperform the market. In line with previous research, I use the short interest ratio and institutional ownership to determine whether a stock is constrained. The implemented strategy consists of a long and short portfolio from April 2010 to March 2021. The long portfolio contains stocks that are least likely, and the short portfolio includes stocks that are most likely affected by short-sale constraints. The average yearly return of the strategy is 8.60% in the full sample period, mainly driven by the first half in which the strategy performs very well. |
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Short interest ratio and institutional ownership: quantitative investment strategy with short-sale constrained stocksFinanceFinancial marketsQuantitative investment strategyShort-sale constraintsDomínio/Área Científica::Ciências Sociais::Economia e GestãoPapers on short-sale constrained stocks suggest that they underperform the market. In line with previous research, I use the short interest ratio and institutional ownership to determine whether a stock is constrained. The implemented strategy consists of a long and short portfolio from April 2010 to March 2021. The long portfolio contains stocks that are least likely, and the short portfolio includes stocks that are most likely affected by short-sale constraints. The average yearly return of the strategy is 8.60% in the full sample period, mainly driven by the first half in which the strategy performs very well.Hirschey, NicholasRUNPoß, Jonas2022-06-22T13:20:36Z2022-01-112021-12-172022-01-11T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/masterThesisapplication/pdfhttp://hdl.handle.net/10362/140493TID:202973034enginfo:eu-repo/semantics/openAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2024-03-11T05:17:39Zoai:run.unl.pt:10362/140493Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-20T03:49:41.522531Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse |
dc.title.none.fl_str_mv |
Short interest ratio and institutional ownership: quantitative investment strategy with short-sale constrained stocks |
title |
Short interest ratio and institutional ownership: quantitative investment strategy with short-sale constrained stocks |
spellingShingle |
Short interest ratio and institutional ownership: quantitative investment strategy with short-sale constrained stocks Poß, Jonas Finance Financial markets Quantitative investment strategy Short-sale constraints Domínio/Área Científica::Ciências Sociais::Economia e Gestão |
title_short |
Short interest ratio and institutional ownership: quantitative investment strategy with short-sale constrained stocks |
title_full |
Short interest ratio and institutional ownership: quantitative investment strategy with short-sale constrained stocks |
title_fullStr |
Short interest ratio and institutional ownership: quantitative investment strategy with short-sale constrained stocks |
title_full_unstemmed |
Short interest ratio and institutional ownership: quantitative investment strategy with short-sale constrained stocks |
title_sort |
Short interest ratio and institutional ownership: quantitative investment strategy with short-sale constrained stocks |
author |
Poß, Jonas |
author_facet |
Poß, Jonas |
author_role |
author |
dc.contributor.none.fl_str_mv |
Hirschey, Nicholas RUN |
dc.contributor.author.fl_str_mv |
Poß, Jonas |
dc.subject.por.fl_str_mv |
Finance Financial markets Quantitative investment strategy Short-sale constraints Domínio/Área Científica::Ciências Sociais::Economia e Gestão |
topic |
Finance Financial markets Quantitative investment strategy Short-sale constraints Domínio/Área Científica::Ciências Sociais::Economia e Gestão |
description |
Papers on short-sale constrained stocks suggest that they underperform the market. In line with previous research, I use the short interest ratio and institutional ownership to determine whether a stock is constrained. The implemented strategy consists of a long and short portfolio from April 2010 to March 2021. The long portfolio contains stocks that are least likely, and the short portfolio includes stocks that are most likely affected by short-sale constraints. The average yearly return of the strategy is 8.60% in the full sample period, mainly driven by the first half in which the strategy performs very well. |
publishDate |
2021 |
dc.date.none.fl_str_mv |
2021-12-17 2022-06-22T13:20:36Z 2022-01-11 2022-01-11T00:00:00Z |
dc.type.status.fl_str_mv |
info:eu-repo/semantics/publishedVersion |
dc.type.driver.fl_str_mv |
info:eu-repo/semantics/masterThesis |
format |
masterThesis |
status_str |
publishedVersion |
dc.identifier.uri.fl_str_mv |
http://hdl.handle.net/10362/140493 TID:202973034 |
url |
http://hdl.handle.net/10362/140493 |
identifier_str_mv |
TID:202973034 |
dc.language.iso.fl_str_mv |
eng |
language |
eng |
dc.rights.driver.fl_str_mv |
info:eu-repo/semantics/openAccess |
eu_rights_str_mv |
openAccess |
dc.format.none.fl_str_mv |
application/pdf |
dc.source.none.fl_str_mv |
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Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação |
instacron_str |
RCAAP |
institution |
RCAAP |
reponame_str |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
collection |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
repository.name.fl_str_mv |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação |
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1799138095072804864 |