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Short interest ratio and institutional ownership: quantitative investment strategy with short-sale constrained stocks
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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.
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Finance Financial markets Quantitative investment strategy Short-sale constraints