Download This PaperWhat Happens When Stocks are Added to the Reg. SHO Threshold Security List?
8 Pages Posted: 3 Oct 2019
Date Written: September 23, 2019
Abstract
This research project aimed to discover what happens to stocks when they’re being admitted to the NASDAQ Regulation SHO threshold list. Does appearance on the list scare off potential buyers, driving prices lower and ushering a new bearish trend? Or, does it attract buyers, causing stocks to exhibit a mean-reverting behavior? Using the daily NASDAQ Regulation SHO (Reg SHO) threshold lists and daily stock price data from Yahoo! Finance, I set off to find that out.
Keywords: Short Selling, Short Sale, Reg SHO, Regulation SHO, NASDAQ, Quant Research
JEL Classification: G10, G11, G12
Suggested Citation: Suggested Citation
Aroussi, Ran, What Happens When Stocks are Added to the Reg. SHO Threshold Security List? (September 23, 2019). Available at SSRN: https://ssrn.com/abstract=3459351 or http://dx.doi.org/10.2139/ssrn.3459351
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