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

Basic information

Original name

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

Authors

LINNERTOVÁ, Dagmar (203 Czech Republic, guarantor, belonging to the institution)

Edition

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

Other information

Language

English

Type of outcome

Článek v odborném periodiku

Field of Study

50200 5.2 Economics and Business

Country of publisher

Czech Republic

Confidentiality degree

není předmětem státního či obchodního tajemství

RIV identification code

RIV/00216224:14560/15:00083853

Organization unit

Faculty of Economics and Administration

DOI

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

Keywords in English

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

Abstract

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.

Links

MUNI/A/1025/2015, interní kód MU

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

Investor: Masaryk University, Category A

Citovat

LINNERTOVÁ, Dagmar. Cross Sectional Analysis of Short Sale Determinants on U.S. Blue Chips. Financial Assets and Investing. Brno: ESF, Masaryk University, 2015, vol. 6, No 2, p. 21-35. ISSN 1804-5081. Available from: 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, vol.~6, No~2, p.~21-35. ISSN~1804-5081. Available from: https://dx.doi.org/10.5817/FAI2015-2-2.

Detailed Information on Publication Record