RT Journal Article SR Electronic T1 Why Does ETF Short Selling Provide a Different Signal? JF The Journal of Index Investing FD Institutional Investor Journals SP 41 OP 48 DO 10.3905/jii.2013.3.4.041 VO 3 IS 4 A1 J. Christopher Hughen A1 Xiaoyu Ma YR 2013 UL https://pm-research.com/content/3/4/41.abstract AB Short selling is of great interest to investors because it has predictive value for future stock returns. We investigate whether this extends to foreign stock ETFs. In contrast to regular stocks, ETFs with high short interest experience positive abnormal returns. Our analysis suggests that the creation and redemption of ETF shares influences the level of short selling. Foreign stock ETFs, with low short interest, also have positive abnormal returns. These abnormal returns are typically caused by higher prices in foreign stock markets and not exchange rate changes.TOPICS: Exchange-traded funds and applications, style investing, statistical methods