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Short Selling and the Weekend Effect in Nasdaq Stock Returns

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Author Info

  • Stephen E. Christophe
  • Michael G. Ferri
  • James J. Angel

Abstract

We examine daily short selling of Nasdaq stocks to explore whether speculative short selling causes a significant portion of the weekend effect in returns. We identify a weekend effect in speculative short selling whereby it constitutes a larger percentage of trading volume on Mondays versus Fridays. We find an opposite effect in dealer short selling, consistent with market makers adding liquidity and stability. Our main finding is that speculative short selling does not explain an economically meaningful portion of the weekend effect in returns, even among the firms most that are most actively shorted. This finding contradicts some prior studies. Copyright (c) 2009, The Eastern Finance Association.

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File URL: http://www.blackwell-synergy.com/doi/abs/10.1111/j.1540-6288.2008.00209.x
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Bibliographic Info

Article provided by Eastern Finance Association in its journal Financial Review.

Volume (Year): 44 (2009)
Issue (Month): 1 (02)
Pages: 31-57

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Handle: RePEc:bla:finrev:v:44:y:2009:i:1:p:31-57

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Web page: http://www.easternfinance.org/
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Web: http://www.blackwellpublishing.com/subs.asp?ref=0732-8516

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Cited by:
  1. Blau, Benjamin M. & Van Ness, Bonnie F. & Van Ness, Robert A., 2009. "Information and trade sizes: The case of short sales," The Quarterly Review of Economics and Finance, Elsevier, vol. 49(4), pages 1371-1388, November.
  2. James Philpot & Craig A. Peterson, 2011. "A brief history and recent developments in day-of-the-week effect literature," Managerial Finance, Emerald Group Publishing, vol. 37(9), pages 808-816, September.

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