Role of Speculative Short Sales in Price Formation: The Case of the Weekend Effect
论证卖空者系统性地影响股价，特别是投机性卖空导致周末效应：卖空者周五平仓、周一重新建仓，使股价周五上涨、周一下跌。通过对比高卖空量与低卖空量股票等证据支持该假说。
ABSTRACT We argue that short sellers affect prices in a significant and systematic manner. In particular, we contend that speculative short sales contribute to the weekend effect: The inability to trade over the weekend is likely to cause these short sellers to close their speculative positions on Fridays and reestablish new short positions on Mondays causing stock prices to rise on Fridays and fall on Mondays. We find evidence in support of this hypothesis based on a comparison of high short‐interest stocks and low short‐interest stocks, stocks with and without actively traded options, IPOs, zero short‐interest stocks, and highly volatile stocks.