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Short Selling and the Weekend Effect for NYSE Securities
Author(s) -
Blau Benjamin M.,
Van Ness Bonnie F.,
Van Ness Robert A.
Publication year - 2009
Publication title -
financial management
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.647
H-Index - 68
eISSN - 1755-053X
pISSN - 0046-3892
DOI - 10.1111/j.1755-053x.2009.01049.x
Subject(s) - business , weekend effect , short interest ratio , monetary economics , positive correlation , financial economics , economics , geography , context (archaeology) , archaeology , medicine , emergency medicine
Using short‐sale transactions data, we examine the relation between short selling and the weekend effect. We do not find that short selling is more abundant on Monday than on Friday, even for stocks that have higher Friday returns. We find that short sellers execute more short‐sale volume during the middle of the week, and that the positive correlation between short selling and returns on Monday is greater, on average, than the correlation on the other days of the week. Our results are robust to subsamples of stocks with larger weekend effects and stocks that do not have listed options.