Table 4 reveals strong evidence of commonality in short selling. Short sales in individual stocks co-move significantly with both market- and industry-aggregated short sales. When used alone, a 1% increase in market short selling corresponds to an average increase in the individual stock short selling of 0.56–0.96%, More importantly, we find that aggregate shorting forecasts market returns. A one standard deviation increase in daily aggregate shorting is associated with a decrease in market excess return by up to 36 bps over the following 10 trading days (9% annualized). We document strong evidence of commonality in daily shorting flows of individual stocks. • We find that aggregate shorting forecasts market returns over the following 5 to 20 trading days. • Our results are consistent with short sellers possessing superior market-wide information.

A short sale is the sale of an asset or stock the seller does not own. It is generally a transaction in which an investor sells borrowed securities in anticipation of a price decline; the seller is then required to return an equal number of shares at some point in the future. For instance, say you sell 100 shares of stock short at a price of $10 per share. Your proceeds from the sale will be $1,000. If the stock goes to zero, you'll get to keep the full $1,000. The S&P 500 is an index and a measure of U.S. stock market performance. The ProShares Trust Short S&P 500 fund takes short positions designed to move opposite the index, making it a broad-based _____ is the return on a stock beyond what would be predicted from market movements alone. An abnormal return You believe that stock prices reflect all information that can be derived by examining market trading data such as the history of past stock prices, trading volume, or short interest, but you do not believe stock prices reflect all

We show that short interest is arguably the strongest known predictor of aggregate stock returns. It outperforms a host of popular return predictors both in and out of sample, with annual R2 statistics of 12.89% and 13.24%, respectively.

Table 4 reveals strong evidence of commonality in short selling. Short sales in individual stocks co-move significantly with both market- and industry-aggregated short sales. When used alone, a 1% increase in market short selling corresponds to an average increase in the individual stock short selling of 0.56–0.96%, More importantly, we find that aggregate shorting forecasts market returns. A one standard deviation increase in daily aggregate shorting is associated with a decrease in market excess return by up to 36 bps over the following 10 trading days (9% annualized). We document strong evidence of commonality in daily shorting flows of individual stocks. • We find that aggregate shorting forecasts market returns over the following 5 to 20 trading days. • Our results are consistent with short sellers possessing superior market-wide information. Downloadable (with restrictions)! Using a comprehensive data set of short-sale transactions, we find strong evidence of commonality in daily shorting flows of individual stocks. More importantly, we find that aggregate shorting forecasts market returns. A one standard deviation increase in daily aggregate shorting is associated with a decrease in market excess return by up to 36bps over the

We document strong evidence of commonality in daily shorting flows of individual stocks. • We find that aggregate shorting forecasts market returns over the following 5 to 20 trading days. • Our results are consistent with short sellers possessing superior market-wide information.

We document strong evidence of commonality in daily shorting flows of individual stocks. • We find that aggregate shorting forecasts market returns over the following 5 to 20 trading days. • Our results are consistent with short sellers possessing superior market-wide information. Downloadable (with restrictions)! Using a comprehensive data set of short-sale transactions, we find strong evidence of commonality in daily shorting flows of individual stocks. More importantly, we find that aggregate shorting forecasts market returns. A one standard deviation increase in daily aggregate shorting is associated with a decrease in market excess return by up to 36bps over the Aggregate short selling, commonality, and stock market returns Article in Journal of Financial Markets 17(1) · January 2013 with 51 Reads How we measure 'reads' We show that short interest is arguably the strongest known predictor of aggregate stock returns. It outperforms a host of popular return predictors both in and out of sample, with annual R2 statistics of 12.89% and 13.24%, respectively.

_____ is the return on a stock beyond what would be predicted from market movements alone. An abnormal return You believe that stock prices reflect all information that can be derived by examining market trading data such as the history of past stock prices, trading volume, or short interest, but you do not believe stock prices reflect all

shorting/naked short-selling of ETFs, we identify an alternative source of ETF stock short interest is an important predictor of aggregate stock returns consistent commonality in operational shorting/FTDs across ETF market makers which 

When short-selling is possible, aggregate stock returns are less volatile and stocks systematically, they will affect aggregate market return, and thus affect Chordia, T, R. Roll, and A. Subrahmanyam, 2000, Commonality in Liquidity, Journal 

Downloadable (with restrictions)! Using a comprehensive data set of short-sale transactions, we find strong evidence of commonality in daily shorting flows of individual stocks. More importantly, we find that aggregate shorting forecasts market returns. A one standard deviation increase in daily aggregate shorting is associated with a decrease in market excess return by up to 36bps over the Aggregate short selling, commonality, and stock market returns Article in Journal of Financial Markets 17(1) · January 2013 with 51 Reads How we measure 'reads'

We show that short interest is arguably the strongest known predictor of aggregate stock returns. It outperforms a host of popular return predictors both in and out of sample, with annual R2 statistics of 12.89% and 13.24%, respectively. As noted, the power of changes in aggregate short interest to predict stock market returns is inconsistent across subperiods for both monthly and biweekly samples. As noted, e xcluding the 10/15/08 return outlier materially degrades the power of biweekly changes in aggregate short interest to predict stock market returns. This market premium indicator is aggregate “Short Interest”: Short interest (defined by investopedia): The total number of shares of a particular stock that have been sold short by investors but have not been covered or closed out. This can be expressed as a number or as a percentage… When expressed as a percentage, Short Sale Volume Data (NASDAQ TRF, NYX TRF, ADF and ORF) NASDAQ (includes The Nasdaq Stock Market, Nasdaq BX and Nasdaq PSX markets) NYSE (includes NYSE, NYSE Arca, and NYSE MKT) In addition, the SEC discloses twice-monthly disclosure on its website fails to deliver data for all equity securities. You also can go to the SROs’ websites for A short sale is the sale of an asset or stock the seller does not own. It is generally a transaction in which an investor sells borrowed securities in anticipation of a price decline; the seller is then required to return an equal number of shares at some point in the future. For instance, say you sell 100 shares of stock short at a price of $10 per share. Your proceeds from the sale will be $1,000. If the stock goes to zero, you'll get to keep the full $1,000.