| Publication type: | Working paper – expertise – study |
| Title: | Analyzing spillover effects of the gamestop squeeze on short interest |
| Authors: | Ahmad, Sabahat Hauf, Patrick Seiberlich, Ruben R. |
| et. al: | No |
| DOI: | 10.2139/ssrn.4038475 |
| Extent: | 17 |
| Issue Date: | 2022 |
| Publisher / Ed. Institution: | SSRN |
| ISSN: | 1556-5068 |
| Language: | English |
| 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. |
| URI: | https://digitalcollection.zhaw.ch/handle/11475/24645 |
| 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, Patrick HAUF und Ruben R. SEIBERLICH, 2022. Analyzing spillover effects of the gamestop squeeze on short interest. SSRN
Ahmad, Sabahat, Patrick Hauf, and Ruben R. Seiberlich. 2022. “Analyzing Spillover Effects of the Gamestop Squeeze on Short Interest.” SSRN. https://doi.org/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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