Short sale is a market practice that allows participle in overpricing markets. The fundamental goal of short sale is to sell borrowed securities, repurchase them back after their prices decrease and then return them to a lender. The aim of this paper is to investigate determinants of the short sale (measured by short sale ratio or SIR) activity. Based on the previous studies the short sale determinants are represented by market specific variables and fundamental-to-price ratios and correspond with hypotheses that explain investor motivations of going short. A panel regression with fixed effect is applied to determine these variables. The trend of short sale is analyzed by splitting the full sample period in three sub periods. There are identified factors such as abnormal rate of return, volume of trade, volatility, market capitalization and beta coefficient that are stable long term and influence the level of short sale. The results of fundamentals-to price ratio is not unambiguous and these variables do not considerably influence the level of short sale.