Answered By: Barbara Coffey Last Updated: Sep 17, 2019 Views: 23
To sell short is to sell shares that you do not own with the hope that the shares decline in value and can be purchased in the future at a lower price to cover the trade and make a profit
Short interest is a count of shares that have been sold short. This is reported on the 15th and last day of the month.
The Short Interest Ratio is the number of shares sold short/ average daily trading volume – this is also known as Days to Cover.
Data on short interest:
- Global Financial Data has the data for the NYSE in aggregate.
- For company data use Compustat - under Security Monthly
- Bloomberg has the data by company as well. Company Ticker <equity> SI is the code on Bloomberg to use. Bloomberg has international short interest data.
- NASDAQ.com - can look up up to 25 companies at a time.
Data from the NYSE on Short Sales
- WRDS - Used TAQ and select NYSE Short Sales - data from 1/05 - 6/07
- DSS data - on NYSE Short Sales - data from 7/07 -https://dss.princeton.edu/studies/1028
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