I find that short interest significantly and negatively predicts aggregate stock returns in 24 of 32 countries examined. This predictability survives out-of-sample tests, persists outside of recessions, and is not subsumed by other well-known return predictors. The results indicate that short interest contains valuable information for forecasting international market returns that is distinct and more powerful than that of other available predictors. However, the predictive power of short interest varies over time and across regions. It is higher around economic downturns when margin requirements tighten and in regions where short selling is constrained by regulations or equity lending market frictions.

中文翻译：

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空头利息和股票总回报：国际证据

我发现，在所研究的 32 个国家/地区中，有 24 个国家/地区的空头利率显着负面地预测了股票总回报率。这种可预测性在样本外测试中幸存下来，在经济衰退之外持续存在，并且没有被其他众所周知的回报预测指标所包含。结果表明，空头利息包含预测国际市场回报的有价值信息，这些信息与其他可用预测指标截然不同且更强大。然而，短期利率的预测能力会随着时间和地区的不同而变化。当保证金要求收紧时，以及在卖空受到监管或股权借贷市场摩擦限制的地区，它会在经济低迷时期走高。