TY - JOUR T1 - Should Owners of Nasdaq Stocks Fear Short-Selling? JF - The Journal of Portfolio Management SP - 122 LP - 131 DO - 10.3905/jpm.2007.684762 VL - 33 IS - 3 AU - Stephen E. Christophe AU - Michael G. Ferri AU - James J. Angel Y1 - 2007/04/30 UR - https://pm-research.com/content/33/3/122.abstract N2 - It is interesting to look at the daily association between market-adjusted returns of Nasdaq stocks and the percentages of trading volume attributable to dealers and to their speculator customers. An unusually detailed and informative set of Nasdaq trading records reveals significantly negative average market-adjusted returns when speculative short-selling exceeds 10%. At the more common (lower) levels of speculative short-selling, average market-adjusted returns tend to be near zero. Even when there is considerable speculative short-selling, the associated negative market-adjusted return is, on average, only 4 to 6 basis points for each percentage point of short-selling. For many stocks, days of high speculative short-selling are not typically days of unusually low market-adjusted returns. Finally, high levels of short-selling by Nasdaq dealers are more common for stocks earning relatively higher market-adjusted returns.TOPICS: Security analysis and valuation, options ER -