Publicação
Short interest ratio and institutional ownership: quantitative investment strategy with short-sale constrained stocks
| datacite.subject.fos | Ciências Sociais::Economia e Gestão | pt_PT |
| dc.contributor.advisor | Hirschey, Nicholas H. | |
| dc.contributor.author | Poß, Jonas | |
| dc.date.accessioned | 2022-06-22T13:20:36Z | |
| dc.date.available | 2022-06-22T13:20:36Z | |
| dc.date.issued | 2022-01-11 | |
| dc.date.submitted | 2021-12-17 | |
| dc.description.abstract | Papers on short-sale constrained stocks suggest that they underperform the market. In line with previous research, I use the short interest ratio and institutional ownership to determine whether a stock is constrained. The implemented strategy consists of a long and short portfolio from April 2010 to March 2021. The long portfolio contains stocks that are least likely, and the short portfolio includes stocks that are most likely affected by short-sale constraints. The average yearly return of the strategy is 8.60% in the full sample period, mainly driven by the first half in which the strategy performs very well. | pt_PT |
| dc.identifier.tid | 202973034 | pt_PT |
| dc.identifier.uri | http://hdl.handle.net/10362/140493 | |
| dc.language.iso | eng | pt_PT |
| dc.relation | Nova School of Business and Economics | |
| dc.subject | Finance | pt_PT |
| dc.subject | Financial markets | pt_PT |
| dc.subject | Quantitative investment strategy | pt_PT |
| dc.subject | Short-sale constraints | pt_PT |
| dc.title | Short interest ratio and institutional ownership: quantitative investment strategy with short-sale constrained stocks | pt_PT |
| dc.type | master thesis | |
| dspace.entity.type | Publication | |
| oaire.awardNumber | UID/ECO/00124/2013 | |
| oaire.awardTitle | Nova School of Business and Economics | |
| oaire.awardURI | info:eu-repo/grantAgreement/FCT/6817 - DCRRNI ID/UID%2FECO%2F00124%2F2013/PT | |
| oaire.fundingStream | 6817 - DCRRNI ID | |
| project.funder.identifier | http://doi.org/10.13039/501100001871 | |
| project.funder.name | Fundação para a Ciência e a Tecnologia | |
| rcaap.rights | openAccess | pt_PT |
| rcaap.type | masterThesis | pt_PT |
| relation.isProjectOfPublication | 644a3f4f-817b-4d0d-aba6-f98cdca28bc7 | |
| relation.isProjectOfPublication.latestForDiscovery | 644a3f4f-817b-4d0d-aba6-f98cdca28bc7 | |
| thesis.degree.name | A Work Project, presented as part of the requirements for the Award of a Masters Degree in Finance from the NOVA – School of Business and Economics | pt_PT |
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