SQUEEZEMETRICS

The conceptual link between short sales and investor buying activity-the key to understanding what "short volume" really means-has never been clearly drawn before... Trades marked with the seller "short" comprise about 49% of equity share volume [...] it's no coincidence... Very high relative percentages (≥45% [DIX]) of dollar-weighted short volume are associated with mean 60-market-day returns of 5.3%, as compared to a mean of 2.8% across the whole dataset.