A Close Look at Short Selling on NASDAQ
Posted: 25 Jan 2004
We examine the frequency of short selling in stocks listed in the Nasdaq market. Using previously unavailable transaction data, we can report several findings: (1) overall, 1 of every 42 trades involves a short sale; (2) short selling is more common among stocks with high returns than stocks with weaker performance; (3) actively traded stocks experience more short sales than stocks of limited trading volume; (4) short selling varies directly with share price volatility; (5) short selling does not appear to be systematically different on various days of the week; and (6) days of high short selling precede days of unusually low returns.
Keywords: Portfolio Management, equity strategies, Portfolio Management, hedge fund strategies, Alternative Investments, hedge fund strategies
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