Blau, Benjamin M.; Ness, Bonnie F. Van; Ness, Robert A. Van - In: Financial Management 38 (2009) 3, pp. 603-630
"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...