. Short interest, defined as the proportion of shares shorted to all outstanding shares for a given stock, represents the … collective expectations of short sellers. While the variation in short interest at the firm level may be dominated by firm …-specific expectations, the variation in an aggregate measure of short interest across a broad sample of stocks most likely reflects changing …

only high levels (the 90th percentile) of short interest are associated with significant negative REIT returns as the … bearish content of short interest may have been mitigated by the favorable risk characteristics of real estate securities. In … addition, the significant negative relationship between short interest and REIT returns applies only to REITs with poor …