Cross-sectional Analysis of Short Sale of NYSE's Blue Chips
| Autoři | |
|---|---|
| Rok publikování | 2015 |
| Druh | Článek ve sborníku |
| Konference | Procedia Economics and Finance |
| Fakulta / Pracoviště MU | |
| Citace | |
| www | http://www.sciencedirect.com/science/article/pii/S2212567115009429 |
| Obor | Ekonomie |
| Klíčová slova | S&P 500; short sale; panel regression; fixed effect |
| Popis | The aim of the paper is to analyse the determinants of short sale activity of blue chips on NYSE in the period 2000 – 2014. In the paper the fixed effect panel regression model is applied. The determinants of short selling activity are chosen according to previous literature review. The investigate period was divided into three separate sub periods that correspond with different economics conditions in the period 2000 – 2014. Analysed variables represent company fundamentals and market specifics characteristics. The impact of analysed variables on short sale level is long-term stable and constants. |