期刊名称：Journal of Economics and International Finance
电子版ISSN：2006-9812
出版年度：2011
卷号：3
期号：4
页码：195-203
语种：English
出版社：Academic Journals
摘要：We examine short selling activities on the New York Stock Exchange (NYSE) from July to October 2007, a period during which the uptick rule was permanently removed by theSecurities and Exchange Commission (SEC). Short sellers have a tendency to increase their trading following negative market returns and positive individual stock returns. Short sellers target stocks with positive returns and timing their trades when the market trends down. The results are robust after accommodating other factors that determine short selling, such as volatility, spreads, and stock turnover. Not all short sellers are capable of predicting future stock returns, only those who trade on private information can. We find that a long/short trading strategy with a holding period of two weeks and based on past abnormal short selling activity generates significant positive returns during the sample period.
