Information in short selling: Comparing Nasdaq and the NYSE

Review of Financial Economics - Tập 20 - Trang 1-10 - 2011
Benjamin M. Blau1, Bonnie F. Van Ness2, Robert A. Van Ness2
1Utah State University, United States
2University of Mississippi, United States

Tóm tắt

AbstractThis study directly compares the level and return predictability of short selling for NYSE stocks to a matched sample of Nasdaq stocks. When considering trading that executes on all exchanges, we document that the Nasdaq has greater levels of short selling, relative to total trading activity, than the NYSE. However, Nasdaq has less relative short activity than the NYSE when considering short selling that executes on the primary exchange. When comparing the contrarian trading behavior and the return predictability of short sellers, we show that Nasdaq short sellers are more contrarian in contemporaneous and past returns and better at predicting negative returns than NYSE short sellers. These results are robust in each trade‐size category.

Tài liệu tham khảo

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Thông tin xuất bản

Review of Financial Economics

Tập 20

1-10

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