Cross Sectional Analysis of Short Sale Determinants on U.S. Blue Chips

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216224%3A14560%2F15%3A00083853" target="_blank" >RIV/00216224:14560/15:00083853 - isvavai.cz</a>
Result on the web
<a href="http://dx.doi.org/10.5817/FAI2015-2-2" target="_blank" >http://dx.doi.org/10.5817/FAI2015-2-2</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.5817/FAI2015-2-2" target="_blank" >10.5817/FAI2015-2-2</a>

Result language
angličtina
Original language name
Cross Sectional Analysis of Short Sale Determinants on U.S. Blue Chips
Original language description
Short sale is a market practice that allows participle in overpricing markets. The fundamental goal of short sale is to sell borrowed securities, repurchase them back after their prices decrease and then return them to a lender. The aim of this paper isto investigate determinants of the short sale (measured by short sale ratio or SIR) activity. Based on the previous studies the short sale determinants are represented by market specific variables and fundamental-to-price ratios and correspond with hypotheses that explain investor motivations of going short. A panel regression with fixed effect is applied to determine these variables. The trend of short sale is analyzed by splitting the full sample period in three sub periods. There are identified factors such as abnormal rate of return, volume of trade, volatility, market capitalization and beta coefficient that are stable long term and influence the level of short sale.
Czech name
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Czech description
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Type
J<sub>x</sub> - Unclassified - Peer-reviewed scientific article (Jimp, Jsc and Jost)
CEP classification
AH - Economics
OECD FORD branch
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Publication year
2015
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

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