Publication details

Cross-sectional Analysis of Short Sale Determinants in the US Market Sectors

Authors

LINNERTOVÁ Dagmar KAFKOVÁ Silvie

Year of publication 2015
Type Article in Proceedings
Conference EUROPEAN FINANCIAL SYSTEMS 2015: PROCEEDINGS OF THE 12TH INTERNATIONAL SCIENTIFIC CONFERENCE
MU Faculty or unit

Faculty of Economics and Administration

Citation
web http://is.muni.cz/do/econ/sborniky/2015/EFS_2015_proceedings.pdf
Field Economy
Keywords short sale; panel regression with fixed effect; blue chips; Standard & Poor's index
Description The aim of this paper is to analyze short sale determinants along particular sectors in the U.S. market. The analysis is carried out for firm-specific and market characteristics of blue chips traded in the NYSE in the period 2000 - 2014. The motivation of investors for short sale is explained by four short sale hypotheses. The results for particular sectors are compared with those for the full sample and findings about attractively of particular stocks for short sale are suggested. The analysis is based on application of panel regression with fixed effect.

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