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

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LINNERTOVÁ Dagmar

Rok publikování 2015
Druh Článek ve sborníku
Konference Procedia Economics and Finance
Fakulta / Pracoviště MU

Ekonomicko-správní fakulta

Citace
www http://www.sciencedirect.com/science/article/pii/S2212567115009429
Obor Ekonomie
Klíčová slova S&P 500; short sale; panel regression; fixed effect
Popis 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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