The article presents a study on the association between shorting activity and future stock returns in the equities market, with the use of proprietary stock loan fees and quantities dataset. Results showed that the separation of supply and demand shifts offer a better view of the information...

This paper finds evidence of return predictability across economically linked firms. We test the hypothesis that in the presence of investors subject to attention constraints, stock prices do not promptly incorporate news about economically related firms, generating return predictability across...

This paper finds evidence of return predictability across economically linked firms. We test the hypothesis that in the presence of investors subject to attention constraints, stock prices do not promptly incorporate news about economically related firms, generating return predictability across...