Diether, Karl B.; Lee, Kuan-Hui; Werner, Ingrid M. - In: Review of Financial Studies 22 (2009) 2, pp. 575-607
We examine short selling in US stocks based on new SEC-mandated data for 2005. There is a tremendous amount of short selling in our sample: short sales represent 24% of NYSE and 31% of Nasdaq share volume. Short sellers increase their trading following positive returns and they correctly predict...
