MPhil/PhD Scholarship

University of Greenwich - Faculty of Business

Title: Is There Good News in Short Interest? Some International Evidence

Description: Malkiel (1995), among many others, has demonstrated that most smart-money investors, such as mutual fund managers, fail to achieve risk-adjusted returns that are in excess of the risk-free rate, after accounting for fees and expenses. However, Boehmer et al. (2010) finds that by following the short interest of some sophisticated investors, one can obtain positive risk-adjusted excess returns. The purpose of this project is to investigate whether the findings of Boehmer et al. (2010) is robust to model specification, investment horizon and across countries.

In particular, the project seeks answers to the following questions:

(1) In adjusting for risk, Boehmer et al. (2010) uses the Fama-French three-factor model augmented by the momentum factor. However, is there good news to short interest if a different and more recent model, such as Fama and French (2015) five-factor model, is used to adjust for risk premium?

(2) After the publication of Boehmer et al. (2010), does the opportunity for excess returns remain, or has investors adopted this strategy and arbitraged away the excess returns?

(3) Is there good news in short interest if the strategy is applied to other countries, e.g., 34 OECD countries?

(4) Whether and to what extent short sales affect liquidity, price discovery, volatility and cross-section of stock returns?

(5) Are short sellers informed traders? Is there evidence that short sellers engage in market manipulation?

For further information please contact the supervisor: Dr Larry Su,

Bursary available (subject to satisfactory performance):

Year 1: £14,296 Year 2: In line with RCUK rate Year 3: In line with RCUK rate

In addition, the successful candidate will receive a contribution to tuition fees equivalent to the university’s Home/EU rate, currently £4,121, for the duration of their scholarship. International applicants will need to pay the remainder tuition fee, currently £8,029, for the duration of their scholarship. This fee is subject to an annual increase. Scholarships are available for three years, full-time study from the date scholars first register as an MPhil/PhD student with the university. Applicants must hold a Master’s degree (UK or UK equivalent) or a First Class or Upper Second Class Honours Bachelor’s in a relevant discipline. 

For additional information about the scholarship and links to the application form please go to: 

Please read this information before making an applicationApplications need to be made online via No other form of application will be considered.

All applications must include the following information. Applications not containing these documents will not be considered.

  • Scholarship Reference Number (Ref VCS-BUS-05-16) – included in the personal statement section together with your personal statement as to why you are applying.
  • A research proposal.
  • A CV including 2 referees.
  • Academic qualification certificates/transcripts and IELTs/English Language certificate if you are an international applicant or if English is not your first language or you are from a country where English is not the majority spoken language as defined by the UK Border Agency.

Upload to the supporting information section of the application form. Attachments need to be in PDF format.

The closing date for applications is midnight (UTC) on 4 November 2016

The scholarship must commence on 3 January 2016.

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