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• W44776670 abstract "This study employs daily short-selling data for NASDAQ stocks to explore whether speculative short-selling causes a significant portion of the observed weekend effect in stock returns. We find that the weekend effect in returns persists during our sample period. We also identify a weekend effect in customer (speculative) short-selling, because this type of short-selling constitutes a larger percentage of trading volume on Monday than on the preceding Friday. And, our analysis reveals a weekend effect in dealer short-selling that is different from that of customers. The result for dealers conforms to the notion that dealers actively bring liquidity and stability through their market-making activities. Our main finding is that speculative shortselling does not explain an economically meaningful portion of the Monday-Friday difference in returns, even among the firms that are most actively shorted. This finding contradicts the results of some prior research. Short-selling and the Weekend Effect in Stock Returns" @default.
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• W44776670 date "2007-01-01" @default.
• W44776670 modified "2023-09-27" @default.
• W44776670 title "Short-selling and the Weekend Effect in Stock Returns" @default.
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