We provide a comprehensive comparison of equity short-selling activity and option market activity in predicting future returns. Three variables are constructed, namely the equity short interest ratio (SIR), put-call open interest ratio (PCOIR), and put-call buy volume ratio (PCBVR). The...

This paper investigates whether investors can exploit the contrarian cycle to improve the profitability of momentum strategies. We conjecture that the momentum strategies implemented in the early stage of price reversal (MSES) are more profitable than those implemented in the late stage of price...

We analyze the effect of option trading on the return predictability of short interest. There is no difference in the return predictability of short-interest ratios between stocks with and without traded options. The predictability of the put-call open interest ratio (PCOIR) is weaker than that...

We investigate the long-term effects of S&P 500 index additions and deletions on a sample of stocks from 1962 to 2003 and find a significant long-term price increase for both added and deleted stocks, with deleted stocks outperforming added stocks. The long-term price increase for added stocks...

There has been extensive literature on effects of short-sale constraints. A most widely study is Miller (1997) who argues that given the short-sale constraints, investors with bearish information cannot trade in the market unless they already hold the stocks. As a consequence, stock prices...

This paper provides an analysis of the determinants of the closed-end fund discount in Mainland China. We focus on the diversification level of closed-end funds as the investor clienteles for closed-end funds in Mainland China are different from other markets. Our empirical evidence shows that...

We investigate the long-term effects of S&P 500 index additions and deletions on a sample of stocks from 1962 to 2003 and find a significant long-term price increase for both added and deleted stocks, with deleted stocks outperforming added stocks. The long-term price increase for added stocks...