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

J 2015

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

LINNERTOVÁ, Dagmar

Základní údaje

Originální název

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

Autoři

LINNERTOVÁ, Dagmar (203 Česká republika, garant, domácí)

Vydání

Financial Assets and Investing, Brno, ESF, Masaryk University, 2015, 1804-5081

Další údaje

Jazyk

angličtina

Typ výsledku

Článek v odborném periodiku

Obor

50200 5.2 Economics and Business

Stát vydavatele

Česká republika

Utajení

není předmětem státního či obchodního tajemství

Kód RIV

RIV/00216224:14560/15:00083853

Organizační jednotka

Ekonomicko-správní fakulta

DOI

http://dx.doi.org/10.5817/FAI2015-2-2

Klíčová slova anglicky

short sale; determinants; panel regression; S&P 500; hypotheses of going short

Příznaky

Mezinárodní význam, Recenzováno

Změněno: 1. 3. 2018 14:58, Ing. Dagmar Vágnerová Linnertová, Ph.D.

Anotace

V originále

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 is to 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. The results of fundamentals-to price ratio is not unambiguous and these variables do not considerably influence the level of short sale.

Návaznosti

MUNI/A/1025/2015, interní kód MU

Název: Hrozby a výzvy prostředí přetrvávajících nízkých úrokových sazeb pro vývoj a stabilitu finančního systému (Akronym: FinStabilita)

Investor: Masarykova univerzita, Hrozby a výzvy prostředí přetrvávajících nízkých úrokových sazeb pro vývoj a stabilitu finančního systému, DO R. 2020_Kategorie A - Specifický výzkum - Studentské výzkumné projekty

Citovat

LINNERTOVÁ, Dagmar. Cross Sectional Analysis of Short Sale Determinants on U.S. Blue Chips. Financial Assets and Investing. Brno: ESF, Masaryk University, 2015, roč. 6, č. 2, s. 21-35. ISSN 1804-5081. Dostupné z: https://dx.doi.org/10.5817/FAI2015-2-2.

@article{1311191,
   author = {Linnertová, Dagmar},
   article_location = {Brno},
   article_number = {2},
   doi = {http://dx.doi.org/10.5817/FAI2015-2-2},
   keywords = {short sale; determinants; panel regression; S&P 500; hypotheses of going short},
   language = {eng},
   issn = {1804-5081},
   journal = {Financial Assets and Investing},
   title = {Cross Sectional Analysis of Short Sale Determinants on U.S. Blue Chips},
   volume = {6},
   year = {2015}
}

TY  - JOUR
ID  - 1311191
AU  - Linnertová, Dagmar
PY  - 2015
TI  - Cross Sectional Analysis of Short Sale Determinants on U.S. Blue Chips
JF  - Financial Assets and Investing
VL  - 6
IS  - 2
SP  - 21-35
EP  - 21-35
PB  - ESF, Masaryk University
SN  - 18045081
KW  - short sale
KW  - determinants
KW  - panel regression
KW  - S&P 500
KW  - hypotheses of going short
N2  - 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 is to 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. The results of fundamentals-to price ratio is not unambiguous and these variables do not considerably influence the level of short sale.
ER  -

LINNERTOVÁ, Dagmar. Cross Sectional Analysis of Short Sale Determinants on U.S. Blue Chips. \textit{Financial Assets and Investing}. Brno: ESF, Masaryk University, 2015, roč.~6, č.~2, s.~21-35. ISSN~1804-5081. Dostupné z: https://dx.doi.org/10.5817/FAI2015-2-2.

Podrobný výpis o publikaci