Short Selling and the Weekend Effect for NYSE Securities
利用卖空交易数据，研究卖空行为与周末效应的关系，发现卖空量在周中更多，且周一卖空与收益的正相关性更强，结果对子样本稳健。
Using short‐sale transactions data, we examine the relation between short selling and the weekend effect. We do not find that short selling is more abundant on Monday than on Friday, even for stocks that have higher Friday returns. We find that short sellers execute more short‐sale volume during the middle of the week, and that the positive correlation between short selling and returns on Monday is greater, on average, than the correlation on the other days of the week. Our results are robust to subsamples of stocks with larger weekend effects and stocks that do not have listed options.