Bespoke's article of Feb 15,2013, on most heavily shorted stocks identified 34 stocks that were shorted between 25 and 63% as of the end of Jan, 2013. Out of curiosity, I calculated the return on these stocks to the close Jun 27, 2013. Interestingly, they had an average return of 12.81% while the S & P 500 returned 7.68% over the same period. The "proof" is in folks, buy heavily shorted stocks to earn extra alpha. Well maybe not!
Disclosure: I have no positions in any stocks mentioned, and no plans to initiate any positions within the next 72 hours.