復(fù)旦大學(xué)周欣博士“了解即興興趣的信息內(nèi)容”文章大意為：已有的研究辯論的短息和預(yù)測能力為未來的股票收益的信息內(nèi)容。我們探討的短期利益月度記錄及其公開發(fā)布推論的短期利益的信息內(nèi)容之間的時間間隔一個獨特的制度功能。使用匹配的方法，我們發(fā)現(xiàn)，短期利益的負(fù)面信息內(nèi)容的影響更為明顯比以前記錄，但只存在于短期利益的數(shù)據(jù)公開發(fā)布前的時期。一旦有信息發(fā)布是短期利益，對未來的股票收益無顯著預(yù)測能力。此外，大部分形成于短期出版利益的最嚴(yán)重短路投資組合中記載的負(fù)超額收益的主要是與流動性風(fēng)險相關(guān)聯(lián)。為了更好地揭示賣空活動可能帶來的負(fù)面信息，同時考慮賣空限制，我們建議短期利益與機構(gòu)持股之間的結(jié)合率。我們發(fā)現(xiàn)，短期利益和結(jié)合率密切相關(guān)，在即將到來的一個月收入負(fù)驚喜。然而，只有結(jié)合率反映了其他潛在的負(fù)面信息。以下為原文。

　　Understanding the information content of short interest.

　　Existing studies have debated on the information content of the short interest and its predictive power for future stock returns. We explore a unique institutional feature on the time lag between monthly recording of short interests and their public release to draw inference on the information content of short interests. Using a matching approach, we find that the impact of the negative information content of short interests is more pronounced than previously documented, but only exists in the period before the public release of short interest data. There is no significant predictive power of short interests for future stock returns once the information is released. Moreover, much of the previously documented negative abnormal return of the most heavily shorted portfolio formed on published short interests is largely associated with the liquidity risk. In order to better reveal the potential negative information in short sale activities while considering the short sale constraints, we propose a binding ratio between the short interest and the institutional ownership. We show that both short interest and binding ratio are closely related to forthcoming negative earnings surprises in the month. However, only binding ratio reflect other potential negative information.