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

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