Cross-sectional Analysis of Short Sale of NYSE's Blue Chips

Authors

LINNERTOVÁ Dagmar

Year of publication 2015
Type Article in Proceedings
Conference Procedia Economics and Finance
MU Faculty or unit

Faculty of Economics and Administration

Citation
Web http://www.sciencedirect.com/science/article/pii/S2212567115009429
Field Economy
Keywords S&P 500; short sale; panel regression; fixed effect
Description The aim of the paper is to analyse the determinants of short sale activity of blue chips on NYSE in the period 2000 – 2014. In the paper the fixed effect panel regression model is applied. The determinants of short selling activity are chosen according to previous literature review. The investigate period was divided into three separate sub periods that correspond with different economics conditions in the period 2000 – 2014. Analysed variables represent company fundamentals and market specifics characteristics. The impact of analysed variables on short sale level is long-term stable and constants.

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