|Publication type:||Working paper – expertise – study|
|Title:||Analyzing spillover effects of the gamestop squeeze on short interest|
Seiberlich, Ruben R.
|Publisher / Ed. Institution:||SSRN|
|Subjects:||Hedge fund; Investment strategy; Short selling; Short squeeze|
|Subject (DDC):||332.6: Investment|
|Abstract:||Using short selling data collected by FINRA, we investigate spillover effects of the GME short squeeze at the beginning of 2021 on other stocks’ short interest. Using a broad sample of stocks, we found substantial spillover effects leading to an overall reduction in short interest across US stocks. Stocks with a high pre-event short interest experienced a significant reduction in the short interest, whereas those stocks with a low pre-event short interest experienced a slight increase in the short interest. By decomposing the change in the short interest into a quantity and price effect, we clearly show that the reduction in short interest overcompensates the price effect. Our observations suggest a fundamental shift in the hedge fund’s shorting policies towards less concentrated shorting but also suggest less efficient price discovery.|
|License (according to publishing contract):||Licence according to publishing contract|
|Departement:||School of Management and Law|
|Organisational Unit:||Institute of Wealth & Asset Management (IWA)|
|Appears in collections:||Publikationen School of Management and Law|
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Ahmad, S., Hauf, P., & Seiberlich, R. R. (2022). Analyzing spillover effects of the gamestop squeeze on short interest. SSRN. https://doi.org/10.2139/ssrn.4038475
Ahmad, S., Hauf, P. and Seiberlich, R.R. (2022) Analyzing spillover effects of the gamestop squeeze on short interest. SSRN. Available at: https://doi.org/10.2139/ssrn.4038475.
S. Ahmad, P. Hauf, and R. R. Seiberlich, “Analyzing spillover effects of the gamestop squeeze on short interest,” SSRN, 2022. doi: 10.2139/ssrn.4038475.
Ahmad, Sabahat, et al. Analyzing Spillover Effects of the Gamestop Squeeze on Short Interest. SSRN, 2022, https://doi.org/10.2139/ssrn.4038475.
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