What Determines the Level of Short-Selling Activity?
利用1988-2002年纽交所和纳斯达克股票数据，检验了卖空活动的决定因素，发现卖空与套利机会和避险需求正相关，与前期短期回报负相关，其中股票期权上市是最主要的解释变量。
I test several explanations for the short-sale trading for a sample of the NYSE and the Nasdaq stocks during the 1988-2002 period. I find that short-selling activity is positively related to arbitrage opportunities and hedging demand, and negatively related to previous short-term returns. ANOVA analysis shows that the stock option listing is the most dominant variable in explaining the short-selling level. The short-selling level is more positively related to the dummy variables for convertible debt and option listing during the bubble period, suggesting that there was more room for arbitrage opportunity during that volatile period.