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：

---

空头能预测回报吗？全球视野

使用多种卖空措施，我们检验了 2006 年 7 月至 2014 年 12 月期间 38 个国家/地区的卖空对未来股票收益的预测能力。我们发现，天覆盖率和利用率措施具有最强的预测能力为全球资本市场的未来股票回报。我们的结果显示了替代卖空措施的预测能力存在显着的跨国和跨公司差异。在卖空法规不禁止的国家以及流动性相对较低、卖空费用高、价格效率低的股票中，卖空的预测能力更强。