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Short Selling and the Weekend Effect in Nasdaq Stock Returns
16 references·4 citing·37 second hop
Short Selling and the Weekend Effect in Nasdaq Stock Returns (2009)Short Selling and the Weekend Effect in N…Short-Sale Strategies and Return Predictability (2008)Short-Sale Strategies and Ret…Estimating Standard Errors in Finance Panel Data Sets: Comparing Approaches (2008)Estimating Standard Errors in…Short-Sale Constraints, Differences of Opinion, and Overvaluation (2006)Short-Sale Constraints, Diffe…Short interest, institutional ownership, and stock returns (2005)Short interest, institutional…The Dynamics of Institutional and Individual Trading (2003)The Dynamics of Institutional…The market for borrowing stock (2002)The market for borrowing stockStocks are special too: an analysis of the equity lending market (2002)Stocks are special too: an an…Short-sale constraints and stock returns (2002)Short-sale constraints and st…An Investigation of the Informational Role of Short Interest in the Nasdaq Market (2002)An Investigation of the Infor…Short-sellers, fundamental analysis, and stock returns (2001)Short-sellers, fundamental an…The Individual Investor and the Weekend Effect (1994)The Individual Investor and t…A Review of Financial Studies (1) (1994)A Review of Financial Studies…The Weekend Effect: Trading Patterns of Individual and Institutional Investors (1990)The Weekend Effect: Trading P…A Further Investigation of the Weekend Effect in Stock Returns (1984)A Further Investigation of th…Stock returns and the weekend effect (1980)Stock returns and the weekend…Risk, Return, and Equilibrium: Empirical Tests (1973)Risk, Return, and Equilibrium…Short selling in extreme events (2018)Short selling in extreme even…Short Selling: The Impact of SEC Rule 201 of 2010 (2012)Short Selling: The Impact of …A brief history and recent developments in day‐of‐the‐week effect literature (2011)A brief history and recent de…Single Stock Futures as a Substitute for Short Sales: Evidence from Microstructure Data (2009)Single Stock Futures as a Sub…The Behavior of Stock-Market Prices (1965)Size-related anomalies and stock return seasonality (1983)A transaction data study of weekly and intradaily patterns in stock returns (1986)Transactions, Volume, and Volatility (1994)The Message in Daily Exchange Rates (2002)The Cross-Section of Expected Stock Returns (1992)Contrarian Investment, Extrapolation, and Risk (1994)Earnings, Book Values, and Dividends in Equity Valuation* (1995)Investor psychology in capital markets: evidence and policy implications (2002)Short Selling and the Price Discovery Process (2012)Common risk factors in the returns on stocks and bonds (1993)On Persistence in Mutual Fund Performance (1997)How are shorts informed? (2012)Short interest and aggregate stock returns (2016)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Stock return variances (1986)Correlations in Price Changes and Volatility across International Stock Markets (1990)The Efficient Market Hypothesis and Its Critics (2003)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.] (1975)Efficient Capital Markets: II (1991)The Limits of Arbitrage (1995)DotCom Mania: The Rise and Fall of Internet Stock Prices (2003)Pairs Trading: Performance of a Relative-Value Arbitrage Rule (2006)Efficiency and the Bear: Short Sales and Markets Around the World (2007)RISK, UNCERTAINTY, AND DIVERGENCE OF OPINION (1977)Which Shorts Are Informed? (2007)Specification Tests in Econometrics (1978)Econometric Analysis of Cross Section and Panel Data (2001)Robust Standard Errors for Panel Regressions with Cross-Sectional Dependence (2007)Robust Inference With Multiway Clustering (2011)Policy Uncertainty and Corporate Investment (2015)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Bad Beta, Good Beta (2004)Boys will be Boys: Gender, Overconfidence, and Common Stock Investment (2001)Customer Satisfaction and Shareholder Value (2004)
this work references cited by second hop

References

  • 1973Risk, Return, and Equilibrium: Empirical Tests14,248 cited
  • 2008Estimating Standard Errors in Finance Panel Data Sets: Comparing Approaches10,793 cited
  • 1980Stock returns and the weekend effect1,997 cited
  • 2002The market for borrowing stock1,161 cited
  • 2005Short interest, institutional ownership, and stock returns1,012 cited
  • 2002Short-sale constraints and stock returns899 cited
  • 1984A Further Investigation of the Weekend Effect in Stock Returns896 cited
  • 1994A Review of Financial Studies (1)885 cited
  • 2001Short-sellers, fundamental analysis, and stock returns783 cited
  • 2008Short-Sale Strategies and Return Predictability731 cited
  • 2002An Investigation of the Informational Role of Short Interest in the Nasdaq Market633 cited
  • 2006Short-Sale Constraints, Differences of Opinion, and Overvaluation563 cited
  • 2002Stocks are special too: an analysis of the equity lending market546 cited
  • 2003The Dynamics of Institutional and Individual Trading506 cited
  • 1990The Weekend Effect: Trading Patterns of Individual and Institutional Investors498 cited
  • 1994

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The Individual Investor and the Weekend Effect
333 cited

Cited by

  • 2012Short Selling: The Impact of SEC Rule 201 of 201031 cited
  • 2018Short selling in extreme events23 cited
  • 2011A brief history and recent developments in day‐of‐the‐week effect literature22 cited
  • 2009Single Stock Futures as a Substitute for Short Sales: Evidence from Microstructure Data22 cited