Short Squeezes: A Four-Factor Model

Stocks that end up in a short squeeze tend to exhibit two well-known determinants: They have high short interest and are thinly traded. But do other factors come into play? Finance Professor Derek Horstmeyer and students Tao Wei and Junchen Xia wondered whether certain macro conditions might correlate with greater numbers of short squeezes or if short squeezes were more common in particular sectors and shared their analysis in CFA Institute's Enterprising Investor Blog.

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