Arnold, Tom; Butler, Alexander W.; Crack, Timothy Falcon; … - In: The Journal of Business 78 (2005) 4, pp. 1307-1336
An increase in the cost of selling short should increase the bearish information content of short interest announcements by driving relatively uninformed short sellers out of the market. We extend the Diamond and Verrecchia (1987) model to include short selling against the box and test the...