Short-Selling Risk

• 成果类型: Article
• 署名作者: Engelberg, Joseph E.; Reed, Adam V.; Ringgenberg, Matthew C.
• 署名单位: University of California System; University of California San Diego; University of North Carolina; University of North Carolina Chapel Hill; Utah System of Higher Education; University of Utah
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/jofi.12601
• 发表日期: 2018
• 页码: 755-786
• 关键词: short-sale constraints; EQUITY LENDING MARKET; stock returns; cross-section; SHORT-SELLERS; institutional investors; LIMITED ARBITRAGE; Expected returns; restrictions; options

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.