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A Close Look at Short Selling on NASDAQ

Financial Analysts Journal, Vol. 59, No. 6, pp. 66-74, November/December 2003
  • 0
    Citations
  • 2,146
    Usage
  • 6
    Captures
  • 0
    Mentions
  • 0
    Social Media
Metric Options:   Counts1 Year3 Year

Metrics Details

  • Usage
    2,146
    • Abstract Views
      2,146
  • Captures
    6
    • Readers
      5
      • SSRN
        5
    • Exports-Saves
      1
      • SSRN
        1

Paper Description

We examine the frequency of short selling in stocks listed in the Nasdaq market. Using previously unavailable transaction data, we can report several findings: (1) overall, 1 of every 42 trades involves a short sale; (2) short selling is more common among stocks with high returns than stocks with weaker performance; (3) actively traded stocks experience more short sales than stocks of limited trading volume; (4) short selling varies directly with share price volatility; (5) short selling does not appear to be systematically different on various days of the week; and (6) days of high short selling precede days of unusually low returns.

Bibliographic Details

James Angel; Stephen E. Christophe; Michael G. Ferri

Portfolio Management; equity strategies; hedge fund strategies; Alternative Investments

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