复旦大学周欣博士“了解即兴兴趣的信息内容”

 　　复旦大学周欣博士“了解即兴兴趣的信息内容”文章大意为：已有的研究辩论的短息和预测能力为未来的股票收益的信息内容。我们探讨的短期利益月度记录及其公开发布推论的短期利益的信息内容之间的时间间隔一个独特的制度功能。使用匹配的方法，我们发现，短期利益的负面信息内容的影响更为明显比以前记录，但只存在于短期利益的数据公开发布前的时期。一旦有信息发布是短期利益，对未来的股票收益无显著预测能力。此外，大部分形成于短期出版利益的最严重短路投资组合中记载的负超额收益的主要是与流动性风险相关联。为了更好地揭示卖空活动可能带来的负面信息，同时考虑卖空限制，我们建议短期利益与机构持股之间的结合率。我们发现，短期利益和结合率密切相关，在即将到来的一个月收入负惊喜。然而，只有结合率反映了其他潜在的负面信息。以下为原文。

　　Understanding the information content of short interest.

　　Existing studies have debated on the information content of the short interest and its predictive power for future stock returns. We explore a unique institutional feature on the time lag between monthly recording of short interests and their public release to draw inference on the information content of short interests. Using a matching approach, we find that the impact of the negative information content of short interests is more pronounced than previously documented, but only exists in the period before the public release of short interest data. There is no significant predictive power of short interests for future stock returns once the information is released. Moreover, much of the previously documented negative abnormal return of the most heavily shorted portfolio formed on published short interests is largely associated with the liquidity risk. In order to better reveal the potential negative information in short sale activities while considering the short sale constraints, we propose a binding ratio between the short interest and the institutional ownership. We show that both short interest and binding ratio are closely related to forthcoming negative earnings surprises in the month. However, only binding ratio reflect other potential negative information.