This thesis aims to examine whether it is possible to forecast which firmswill be shorted. To do this a regression was constructed using a sample of thecompanies currently included in S&P 500. Short interest as percentage offloat was set as the dependent variable with volatility, institutionalownership, past stock returns, growth in net sales and price-to-earnings ratio(P/E) as the independent variables. Our results concluded that all variablesexcept institutional ownership were statistically significant at a 5% level withthree of these being significant even at a 1% level. Based on these results, webelieve that it to a certain degree is possible to forecast which firms will beshorted.
| Identifer | oai:union.ndltd.org:UPSALLA1/oai:DiVA.org:lnu-113696 |
| Date | January 2022 |
| Creators | Mårs, Joakim, Stark, Tobias |
| Publisher | Linnéuniversitetet, Institutionen för ekonomistyrning och logistik (ELO) |
| Source Sets | DiVA Archive at Upsalla University |
| Language | English |
| Detected Language | English |
| Type | Student thesis, info:eu-repo/semantics/bachelorThesis, text |
| Format | application/pdf |
| Rights | info:eu-repo/semantics/openAccess |
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