Shortselling data – Supplemental

In the previous post I mentioned two databases that have data on Short Interest shares. The Compustat part database offered data but the search through the WRDS platform could crash because of an error. The error occurred when you selected items (at search step 3) like CIK codes, etc. This problem has now been fixed and the data can now be downloaded as per usual with all selected variables.

I have also had another look at the searches in Datastream for Short Interest data and I noticed the following: you need to be careful when select a download frequency. Usually the SID data is made available every few months or once a year. The report frequency of the data has been changing the last year. If you choose the Yearly frequency in Datastream you will not get data for every year. Only when you select the frequency Monthly do you see data appear for each year.


Shortselling & companies shares

The past few years Shortselling (or “going short”) has been in both the regular new channels as well as the financial news. This is caused by the bad reputation attached to shortselling as it usually involves the expectation that a company could be in trouble. For more background information it is possible to check out the Investopedia item on the subject and the scientific literature.

Many sources and databases have been created over the past 5/6 years that provide more data on shortselling. In a previous blog post I mentioned the registers that have been created by several nations as part of an EU directive by the ESMA (European Securities and Markets Authority). The national registers list some of the reported short positions.

There are two more sources (licensed databases) that have some data on shortselling with regard to American companies: Compustat North America and Datastream.

Datastream has limited data coverage on Short Interest: only for approximately 2010 and later. The Datatype is: SID. Data is only available (at the moment) for companies listed at US markets NYSE, AMEX, ARCA, NASDAQ and OTC.
You have to be careful when using this variable: short interest positions are compiled by the exchanges twice each month, at mid-month and end-month. The data is published approximately 10-12 days after the compilation date and loaded on Datastream when it is received. The stored value dates are the compilation dates. The report frequency is not consistently bimonthly.
The SID variable is stored in thousands of shares and available with three decimal places. The default display is unpadded and the values are not adjusted retrospectively for corporate actions. So if ratios between short interest and volumes are being calculated unadjusted volume (datatype UVO) should be used.
Example screenshot of a search:

Compustat North America has a specific part database called: “Supplemental Short Interest File“. This will provide data on shorted stocks for listed companies at the New York Stock Exchange, American Stock Exchange, and NASDAQ. This data is provided to Capital IQ (Compustat) by FT Interactive. The data goes back to approximately 1997. The short interest data for ADRs is based on the ADR share. Three separate variables are available in the Compustat database:

  • SHORTINT — Shares Held Short as of Settlement Date
  • SHORTINTADJ — Shares Held Short as of Settlement Date – Adjusted
  • SPLITADJDATE — Month End Split Adjustment Date

Example screenshot:

N.B.: At the moment there appears to be an error in the WRDS platform because when I select any of the following variables in the search screen of the Compustat part database at step 3 the search crashes and provides an error: Ticker Symbol, CUSIP, SIC Code, NAICS Code, CIK Number. The error message reads: “Error: Column cik could not be found in the table/view identified with the correlation name A.” Just do not select these items and the search will run. You can use the GVKEY codes to get the other variables from another Compustat database.