There's not an extreme difference not in my experience but markets are naturally bullish bias. So, unless market is extremely bearish, longs will typically be easier and pay more than shorts, speaking particularly regarding equities here. I'll just list some of the reasons why I feel this way and why it may appear to people they are different.
(1) It's hard for big buyers to hide and they can't and don't normally enter a position all at once, they need an average weighted price. This allows for you to pick up on when they are buying.
(2) Ever month new fund money enters the market, 401k's, 403(b's) and etc.
(3) Not many people want stock market to go down. A lot is riding on it going up. So, vast majority have an obvious interest in it going up, hence why equities long typically always easier.
(4) Anytime someone shorts, they will become a buyer sooner or later, so even in bearish times you can get those brutal short covering rallies. Which just adds another layer on making shorting more difficult.
(5) Lot's of people I know that invest or trade part time, hate shorting and will only long(this is anecdotal, but just another minor point.
A smaller, maybe not relevant point directly to this conversation but interesting for people who like to look at Macro economics to trade - Not many people truly understand macro economics(myself included). This is important because even if you have the right thesis, hardly anyone else will see what will or could happen. Therefore people will keep buying right up until the end, when we finally have a reset cycle in the market. So trying to short equities via macro economics is a lot more difficult. Not only do you need right thesis, you need big bank roll and timing.
