@article {Blau14, author = {Benjamin M. Blau and Bonnie F. Van Ness and Robert A. Van Ness}, title = {An Analysis of Short Selling in NYSE-listed Securities}, volume = {1}, number = {4}, pages = {14--21}, year = {2006}, doi = {10.3905/jot.2006.654298}, publisher = {Institutional Investor Journals Umbrella}, abstract = {This article examines the location of short sales for New York Stock Exchange (NYSE) stocks. We find that most exchanges execute a similar percentage of total trades and short sale trades, although Archipelago executes a substantially higher percentage of short sale trades than total trades. We find that both short sale volume and total volume exhibit U-shaped patterns. When we look at the percentage of short sale volume relative to total volume, we find that the relative short sale volume is lowest in the early intervals and highest in the last interval of the trading day on the NYSE. In contrast, we find higher relative short volume in the earliest interval for both the NASDAQ and Archipelago. We also find that relative short volume is positively related to price and volatility and negatively related to firm size, indicating that traders prefer to short higher priced, more volatile, smaller cap stocks.TOPICS: Equity portfolio management, exchanges/markets/clearinghouses, portfolio construction}, issn = {1559-3967}, URL = {https://jot.pm-research.com/content/1/4/14}, eprint = {https://jot.pm-research.com/content/1/4/14.full.pdf}, journal = {The Journal of Trading (Retired)} }