Aggregate short interest and market valuations / Owen A. Lamont, Jeremy C. Stein.
| Author/creator | Lamont, Owen A. |
| Other author | Stein, Jeremy C. |
| Other author | National Bureau of Economic Research. |
| Format | Electronic |
| Publication Info | Cambridge, MA : National Bureau of Economic Research, |
| Supplemental Content | Full text available from NBER Working Papers |
| Subjects |
| Series | NBER working paper series ; working paper 10218 Working paper series (National Bureau of Economic Research : Online) ; working paper no. 10218. UNAUTHORIZED |
| Summary | "We examine some basic data on the evolution of aggregate short interest, both during the dot-com era, and at other times in history. Total short interest moves in a countercyclical fashion. For example, short interest in NASDAQ stocks actually declines as the NASDAQ index approaches its peak. Moreover, this decline does not seem to reflect a substitution away from outright short-selling and towards put options, as the ratio of put-to-call volume displays the same countercyclical tendency. The evidence suggests that: i. arbitrageurs are reluctant to bet against aggregate mispricings; and ii. short-selling does not play a particularly helpful role in stabilizing the overall stock market"--National Bureau of Economic Research web site. |
| General note | Title from PDF file as viewed on 1/19/2005. |
| Bibliography note | Includes bibliographical references. |
| Access restriction | Available only to authorized users. |
| Other forms | Also available in print. |
| Technical details | Mode of access: World Wide Web |
| Genre/form | Electronic books. |
| LCCN | 2005616003 |