Screen: Short Squeeze Candidates
January 17, 2012 3:38 pm
US and Canada Short Interest Squeeze: Idea Generation
I asked my friend Constantin over at the Bloomberg headquarters if he had any thoughts on what would be an interesting screen to work up – looking for short-squeeze candidates. Here is what he wrote today:
Companies with high short interest tend to exhibit positive returns when the investors that have sold the shares short start buying back the shares to cover their short positions.
Here is a stock screen identifying companies in the US and Canada with high Short Interest as a % of float where volume has increased by at least 30 % over the past 5 days and the % change in price is greater than 5% over the past 5
- US and Canadian Companies with market cap > $ 100mil USD.
- Price change over the past 5 days > 5%
- Volume 1 day ago is 30% higher than volume 5 days ago
- Short Interest as a % of float in the top 10 percentile. Higher is better.
- Sort by column called: Short Interest as a % of float.
Here are the results…