An Investigation of Short Sellers' Behavior around Short Interest Announcement Dates

Author

Wei Wei

Date of Award

2008

Document Type

Undergraduate Thesis

Department

Finance

First Advisor

Bonnie Van Ness

Relational Format

Dissertation/Thesis

Abstract

In this thesis, we examine the traders shorting behavior before and after the short interest settlement day. We investigate whether short sellers influence short interest by excessively opening new positions before short interest data collection. We find no evidence suggesting the existence of short sellers’ short interest influencing activities. However, in the course of examining the differences among daily short levels, we demonstrate the danger and consequences of ignoring the panel structure of the data. Plus, we find results that are inconsistent with our understanding of the short interest collection process. Thus, we also give detailed discussions on panel data and on the short interest collection process. ii

Recommended Citation

Wei, Wei, "An Investigation of Short Sellers' Behavior around Short Interest Announcement Dates" (2008). Honors Theses. 2151.
https://egrove.olemiss.edu/hon_thesis/2151

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