Costly Short Sales And The Correlation Of Returns With Volume

@inproceedings{Karpoff1988CostlySS,
  title={Costly Short Sales And The Correlation Of Returns With Volume},
  author={Jonathan M. Karpoff},
  year={1988}
}
Previous researchers have documented an empirical correlation between returns and trading volume in some financial markets. In this paper, an explanation is proposed based on the notion that short positions are more costly than long positions in these markets. The hypothesis is consistent with previous findings and with futures markets data, in which the costs of assuming short and long positions are symmetric and in which the correlation between returns and volume is not significant. 

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