Information in Short Selling: Comparing NASDAQ and the NYSE

31 Pages Posted: 3 Dec 2008 Last revised: 23 Mar 2009

See all articles by Benjamin M. Blau

Benjamin M. Blau

Utah State University - Huntsman School of Business

Bonnie F. Van Ness

University of Mississippi - Department of Finance

Robert A. Van Ness

University of Mississippi - Department of Finance

Date Written: March 20, 2009

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.

JEL Classification: Short Selling, NYSE, NASDAQ, informed trading

Suggested Citation

Blau, Benjamin M. and Van Ness, Bonnie F. and Van Ness, Robert A., Information in Short Selling: Comparing NASDAQ and the NYSE (March 20, 2009). Available at SSRN: https://ssrn.com/abstract=1309801 or http://dx.doi.org/10.2139/ssrn.1309801

Benjamin M. Blau

Utah State University - Huntsman School of Business ( email )

3500 Old Main Hill
Logan, UT 84322
United States

Bonnie F. Van Ness

University of Mississippi - Department of Finance ( email )

Oxford, MS 38677
United States
662-915-6749 (Phone)
662-915-7968 (Fax)

Robert A. Van Ness (Contact Author)

University of Mississippi - Department of Finance ( email )

Oxford, MS 38677
United States

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