Short interest ratio and institutional ownership: quantitative investment strategy with short-sale constrained stocks

Detalhes bibliográficos
Autor(a) principal: Poß, Jonas
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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spelling 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 reponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron:RCAAP
instname_str Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron_str RCAAP
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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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