Short Selling, Margin Buying and Stock Return in China Market

@article{Li2018ShortSM,
  title={Short Selling, Margin Buying and Stock Return in China Market},
  author={Rui Huan Li and Nan Li and Jiahui Li and Chongfeng Wu},
  journal={ARN Wiley-Blackwell Publishers Journals},
  year={2018}
}
It is well argued that short sellers are informed traders, and short interests predict future stock returns significantly. However, most researches neglect margin buyers, as twin sisters of short sellers, and keep silent about their impact on stock returns. In this article, we demonstrate that margin buyers significantly impact predictive power of conventional short measures. We document that conventional short measures neglecting margin-buying activities, short interest ratio (SIR) and days to… 
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