Publication details
Cross-sectional Analysis of Short Sale of NYSE's Blue Chips
| Authors | |
|---|---|
| Year of publication | 2015 |
| Type | Article in Proceedings |
| Conference | Procedia Economics and Finance |
| MU Faculty or unit | |
| 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. |