University of Twente Student Theses
The influence of short selling on stock returns - Evidence from the Netherlands
Kersbergen, S.R. (2015) The influence of short selling on stock returns - Evidence from the Netherlands.
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| Abstract: | In this paper, the influence of short selling on stock returns is investigated by means of data from the Netherlands. The sample consists of 1,119 observations of announced total net short positions in the register of the AFM for 25 Dutch listed firms over the period from January 2013 to December 2014. It is found that the net short position taken in a firm has a statistically significant impact on the abnormal return of the stock of that firm. This result is consistent with findings from prior literature. Furthermore, there seems to be some evidence to suggest that the availability of options for a stock has a negative effect on the abnormal return as well. Finally, a significant influence of short sales which were announced in the last three trading days of a tax year on stock returns was not found. |
| Item Type: | Essay (Bachelor) |
| Faculty: | BMS: Behavioural, Management and Social Sciences |
| Subject: | 85 business administration, organizational science |
| Programme: | International Business Administration BSc (50952) |
| Link to this item: | https://purl.utwente.nl/essays/67418 |
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