Data, Full Sample and Variable Construction
The empirical investigation focuses on a sample of New York Stock Exchange (NYSE) listed stocks for a two-year period from January 2005 to December 2006. The data is obtained from multiple sources, which includes information on short sale volume, convertible bonds, accounting items, institutional ownership, analyst estimates, and option availability. Most of the data is used as input parameters to determine firm, stock and trading activity variables that account for the different motives of short selling, short sale constraints, and general control issues as investigated by the previous literature and discussed in Section 2.1 and 2.2. In the following, Section 4.1 identifies the main data sources, while Section 4.2 describes the principal matching process for the construction of the full data sample. Section 4.3 defines and explains the calculation of different variables from the different data sources and their matching process to the full data sample.
KeywordsImplied Volatility Institutional Ownership Short Selling Convertible Bond Short Interest
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