Using multiple short-sale measures, we examine the predictive power of short sales for future stock returns in 38 countries from July 2006 to December 2014. We find that the days-to-cover ratio and the utilization ratio measures have the most robust predictive power for future stock returns in the global capital market. Our results display significant cross-country and cross-firm differences in the predictive power of alternative short-sale measures. The predictive power of shorts is stronger in countries with nonprohibitive short sale regulations and for stocks with relatively low liquidity, high shorting fees, and low price efficiency.

中文翻译：

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空头能预测回报吗？全球视野

我们使用多种卖空措施，检验了 2006 年 7 月至 2014 年 12 月 38 个国家的卖空对未来股票回报的预测能力。我们发现，天数覆盖率和利用率措施具有最强大的预测能力为未来全球资本市场的股票回报。我们的结果显示，在替代卖空措施的预测能力方面，跨国和跨公司存在显着差异。在没有禁止卖空规定的国家以及流动性相对较低、卖空费用高、价格效率低的股票，卖空的预测能力更强。