Kazemi, Hossein S.; Zhai, Weili; He, Jibao; Cai, Jinghan - Volkswirtschaftliche Fakultät, … - 2013
We test the Chen and Singal (2003) hypothesis that speculative short sellers add to the selling pressure on Mondays, and hence add to the weekend effect, by examining evidence from 60 market indices. We find strong evidence that, until about a decade ago, the actions of short sellers could...