A Close Look at Short Selling on NASDAQ

Posted: 25 Jan 2004

See all articles by James Angel

James Angel

Georgetown University - McDonough School of Business

Stephen E. Christophe

George Mason University - Department of Finance

Michael G. Ferri

George Mason University

Abstract

We examine the frequency of short selling in stocks listed in the Nasdaq market. Using previously unavailable transaction data, we can report several findings: (1) overall, 1 of every 42 trades involves a short sale; (2) short selling is more common among stocks with high returns than stocks with weaker performance; (3) actively traded stocks experience more short sales than stocks of limited trading volume; (4) short selling varies directly with share price volatility; (5) short selling does not appear to be systematically different on various days of the week; and (6) days of high short selling precede days of unusually low returns.

Keywords: Portfolio Management, equity strategies, Portfolio Management, hedge fund strategies, Alternative Investments, hedge fund strategies

Suggested Citation

Angel, James J. and Christophe, Stephen and Ferri, Michael G., A Close Look at Short Selling on NASDAQ. Available at SSRN: https://ssrn.com/abstract=489562

James J. Angel (Contact Author)

Georgetown University - McDonough School of Business ( email )

3700 O Street, NW
Washington, DC 20057
United States

Stephen Christophe

George Mason University - Department of Finance ( email )

Fairfax, VA 22030
United States
703-993-1767 (Phone)
703-993-1870 (Fax)

Michael G. Ferri

George Mason University ( email )

School of Management
4400 University Drive
Fairfax, VA 22030
United States
703-993-1858 (Phone)

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