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COSTLY SHORT SALES AND THE CORRELATION OF RETURNS WITH VOLUME
Author(s) -
Karpoff Jonathan M.
Publication year - 1988
Publication title -
journal of financial research
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.319
H-Index - 49
eISSN - 1475-6803
pISSN - 0270-2592
DOI - 10.1111/j.1475-6803.1988.tb00080.x
Subject(s) - futures contract , volume (thermodynamics) , economics , financial economics , correlation , econometrics , financial market , positive correlation , monetary economics , mathematics , finance , physics , geometry , quantum mechanics , medicine
Previous researchers have documented an empirical correlation between returns and trading volume in some financial markets. In this paper, an explanation is proposed based on the notion that short positions are more costly than long positions in these markets. The hypothesis is consistent with previous findings and with futures markets data, in which the costs of assuming short and long positions are symmetric and in which the correlation between returns and volume is not significant.