Research summaryWorking paper

Forecasting in Periods of Heightened Uncertainty: The Importance of Aggregate Short Interest

Working paper (2024)

Ólan Henry·Semih Kerestecioglu·Sam Pybis·Michalis P. Stamatogiannis

AbstractShows that aggregate short interest improves stock market return forecasts in periods of high uncertainty.

A full non-technical summary of this paper is in preparation.

How to cite

Henry, Ó., Kerestecioglu, S., Pybis, S., and Stamatogiannis, M. P. (2024). Forecasting in Periods of Heightened Uncertainty: The Importance of Aggregate Short Interest. SSRN Working Paper 4861541. https://doi.org/10.2139/ssrn.4861541

@misc{henry2024forecasting,
  author       = {Henry, {\'O}lan and Kerestecioglu, Semih and Pybis, Sam and Stamatogiannis, Michalis P.},
  title        = {Forecasting in Periods of Heightened Uncertainty: The Importance of Aggregate Short Interest},
  howpublished = {SSRN Working Paper 4861541},
  year         = {2024},
  doi          = {10.2139/ssrn.4861541}
}