Short-Selling Risk

被引：95

作者：

Engelberg, Joseph E. ^{[1
]}

Reed, Adam V. ^{[2
]}

Ringgenberg, Matthew C. ^{[3
]}

机构：

[1] Univ Calif San Diego, Rady Sch Management, San Diego, CA 92103 USA

[2] Univ N Carolina, Kenan Flagler Business Sch, Chapel Hill, NC USA

[3] Univ Utah, David Eccles Sch Business, Salt Lake City, UT 84112 USA

来源：

JOURNAL OF FINANCE | 2018年 / 73卷 / 02期

关键词：

SHORT-SALE CONSTRAINTS; EQUITY LENDING MARKET; STOCK RETURNS; CROSS-SECTION; SHORT-SELLERS; INSTITUTIONAL INVESTORS; LIMITED ARBITRAGE; EXPECTED RETURNS; RESTRICTIONS; OPTIONS;

D O I：

10.1111/jofi.12601

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

Short sellers face unique risks, such as the risk that stock loans become expensive and the risk that stock loans are recalled. We show that short-selling risk affects prices among the cross-section of stocks. Stocks with more short-selling risk have lower returns, less price efficiency, and less short selling.

引用

页码：755 / 786

页数：32

共 50 条

[1] Dynamic Equilibrium with Costly Short-Selling and Lending Market
Atmaz, Adem
Basak, Suleyman
Ruan, Fangcheng
REVIEW OF FINANCIAL STUDIES, 2024, 37 (02) : 444 - 506
[2] Toward understanding short-selling activity: demand and supply
Cheung, Adrian W. K.
Kot, Hung Wan
Lam, Eric F. Y.
Leung, Harry K. M.
ACCOUNTING AND FINANCE, 2020, 60 (03) : 2203 - 2230
[3] A Survey of Short-Selling Regulations
Edwards, Amy K.
Reed, Adam, V
Saffi, Pedro A. C.
REVIEW OF ASSET PRICING STUDIES, 2024, 14 (04) : 613 - 639
[4] Short-selling and corporate default risk: Evidence from China
Meng, Qingbin
Huang, Haozheng
Li, Xinyu
Wang, Song
INTERNATIONAL REVIEW OF ECONOMICS & FINANCE, 2023, 87 : 398 - 417
[5] Option prices and costly short-selling
Atmaz, Adem
Basak, Suleyman
JOURNAL OF FINANCIAL ECONOMICS, 2019, 134 (01) : 1 - 28
[6] Short-selling and credit default swap spreadsWhere do informed traders trade?
Lecce, Steven
Lepone, Andrew
McKenzie, Michael D.
Wong, Jin Boon
Yang, Jin Y.
JOURNAL OF FUTURES MARKETS, 2018, 38 (08) : 925 - 942
[7] Does short-selling affect mutual fund shareholdings? Evidence from China
Liu, Xufeng
Wan, Die
ACCOUNTING AND FINANCE, 2022, 62 : 1887 - 1923
[8] Short-selling constraints as cause for price distortions: An experimental study
Hauser, Florian
Huber, Juergen
JOURNAL OF INTERNATIONAL MONEY AND FINANCE, 2012, 31 (05) : 1279 - 1298
[9] Short-selling constraints and "quantitative' investment strategies
Andrikopoulos, Panagiotis
Clunie, James
Siganos, Antonios
EUROPEAN JOURNAL OF FINANCE, 2013, 19 (01) : 19 - 35
[10] The 2008 short-selling ban's impact on tail risk
Bartl, Jonas
Bostandzic, Denefa
Irresberger, Felix
Weiss, Gregor
Yang, Ruomei
JOURNAL OF EMPIRICAL FINANCE, 2024, 78

← 1 2 3 4 5 →