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EDHEC-Risk Institute - August 19, 2011

Ekkehart Boehmer receives best paper award from the Journal of Financial Economics

Ekkehart Boehmer, Professor of Finance at EDHEC Business School and Member of EDHEC-Risk Institute, together with co-authors Zsuzsa Huszar of the National University of Singapore and Bradford Jordan of the University of Kentucky, were voted first-place winners of the Fama-DFA Prizes for the best papers published in the Journal of Financial Economics in the areas of capital markets and asset pricing over the past year.

Entitled “The Good News in Short Interest”, the paper finds that while stocks with relatively high short interest subsequently experience negative abnormal returns, the effect can be transient and of debatable economic significance. In contrast, relatively heavily traded stocks with low short interest experience both statistically and economically significant positive abnormal returns, which are often larger than the negative returns observed for heavily shorted stocks. These results show that the positive information associated with low short interest, which is publicly available, is only slowly incorporated into prices, which raises a broader market efficiency issue. They also cast doubt on existing theories of the impact of short sale constraints.

The Fama-DFA Prizes are one of two sets of highly-sought prizes awarded annually by the Journal of Financial Economics and named after advisory editor Eugene Fama of the University of Chicago, who has served the journal since its inception.

The Journal of Financial Economics provides a specialised forum for the publication of research in the area of financial economics and the theory of the firm, placing primary emphasis on the highest quality analytical, empirical, and clinical contributions in capital markets, financial institutions, corporate finance, corporate governance and the economics of organisations.