Ước tính sai lệch này hóa ra lại rất quan trọng trong việc dự đoán sự ngạc nhiên thu nhập. Như trong nghiên cứu trước đây, thu nhập bất ngờ là liên quan đến việc sửa đổi quý trước trong dự báo thu nhập (tức là, các nhà phân tích không điều chỉnh dự toán của họ như nhiều như họ nên, có lẽ là để giảm thiểu thay đổi sắc nét). | The Information Content of Short Sales 241 Predicting Short-Term Returns with and Without Hedging and Traded Options In a study published in 1990 Averil Brent Dale Morse and E. Kay Stice considered the motivations of short sellers using random samples of 200 NYSE stocks from the years 1981 to Their tests confirm the results of Hurtado-Sanchez in that changes in RSI fail to predict future returns but stocks with high returns subsequently experience large increases in RSI. The latter finding is in direct opposition to one of the key assumptions behind the technical analysts bullish view of short interest that short selling supposedly increases in down markets. Thus it appears that short sellers are attempting to anticipate mean reversion in returns. They also observe that stocks with high short interest tend to have high betas traded options and listed convertible securities. They therefore conclude that hedging and arbitrage as opposed to speculation motivates a material amount of short selling. Another hedging strategy that may obscure information in short interest is shorting against the box . selling short a stock already held long at the end of the year to delay capital gains to the following year. Using NYSE and NASDAQ short interest data from 1995 to 1999 Tom Arnold Alexander Butler Tim Crack and Yan Zhang demonstrate the popularity of this strategy prior to the Tax Payer Relief Act of 1997. The Act disallowed this practice as a means to delaying taxes and they find that year-end short interest declined significantly with the introduction of the Act. They also show that the Act had the effect of strengthening the negative relation between changes in a stock s RSI and its return in the following month. This clearly indicates that short interest announcements contain information about subsequent returns in the manner of Diamond and Verrecchia as long as information-motivated trades make up an adequate proportion of the short interest. In a study .
