Au, Andrea S.; Doukas, John A.; Onayev, Zhan - In: Journal of Financial Markets 12 (2009) 2, pp. 290-316
This paper examines the relation between short selling and returns and the impact of arbitrage costs on short sellers' behavior. Using daily UK short selling data, we find that stocks with low short interest levels experience significant positive returns on both an equal- and value-weighted...
