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Information in short selling: Comparing Nasdaq and the NYSE

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  • Blau, Benjamin M.
  • Van Ness, Bonnie F.
  • Van Ness, Robert A.

Abstract

This 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.

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Bibliographic Info

Article provided by Elsevier in its journal Review of Financial Economics.

Volume (Year): 20 (2011)
Issue (Month): 1 (January)
Pages: 1-10

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Handle: RePEc:eee:revfin:v:20:y:2011:i:1:p:1-10

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Web page: http://www.elsevier.com/locate/inca/620170

Related research

Keywords: Short selling NYSE Nasdaq Trade sizes Return predictability;

References

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