LINNERTOVÁ, Dagmar. Cross-sectional Analysis of Short Sale of NYSE's Blue Chips. Online. In Cetin Bektas. Procedia Economics and Finance. Amsterdam: ELSEVIER SCIENCE BV, 2015, p. 1136- 1140. ISSN 2212-5671.
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Basic information
Original name Cross-sectional Analysis of Short Sale of NYSE's Blue Chips
Authors LINNERTOVÁ, Dagmar (203 Czech Republic, guarantor, belonging to the institution).
Edition Amsterdam, Procedia Economics and Finance, p. 1136- 1140, 5 pp. 2015.
Publisher ELSEVIER SCIENCE BV
Other information
Original language English
Type of outcome Proceedings paper
Field of Study 50200 5.2 Economics and Business
Country of publisher Netherlands
Confidentiality degree is not subject to a state or trade secret
Publication form electronic version available online
WWW URL
RIV identification code RIV/00216224:14560/15:00084840
Organization unit Faculty of Economics and Administration
ISSN 2212-5671
Keywords in English S&P 500; short sale; panel regression; fixed effect
Changed by Changed by: Ing. Dagmar Vágnerová Linnertová, Ph.D., učo 76289. Changed: 24/11/2015 10:18.
Abstract
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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