Short-covering bubbles

• 成果类型: Article
• 署名作者: Guimaraes, Bernardo; Pannella, Pierluca
• 署名单位: Getulio Vargas Foundation
• 刊物名称: JOURNAL OF ECONOMIC THEORY
• ISSN/ISSBN: 0022-0531
• DOI: 10.1016/j.jet.2024.105846
• 发表日期: 2024
• 关键词: Short-selling; Short-squeeze; Equity lending; Overpricing; GameStop; Meme stocks

摘要

This paper argues that short selling might give rise to bubbles that would otherwise not exist. An asset with zero fundamental value might be traded at a positive price by rational agents. We call it a short-covering bubble because it is sustained by short-sellers covering their positions. Agents trade according to their beliefs on how long the bubble will persist.