Short of Capital: Stock Market Implications of Short Sellers' Losses

• 成果类型: Article; Early Access
• 署名作者: Gargano, Antonio; Sotes-Paladino, Juan; Verwijmeren, Patrick
• 署名单位: University of Houston System; University of Houston; Erasmus University Rotterdam - Excl Erasmus MC; Erasmus University Rotterdam; University of Melbourne
• 刊物名称: MANAGEMENT SCIENCE
• ISSN/ISSBN: 0025-1909
• DOI: 10.1287/mnsc.2023.01356
• 发表日期: 2025
• 关键词: Short selling; margin constraints; Limits to arbitrage; Informed trading

摘要

We provide evidence that losses constrain short sellers but not the transmission of information to prices. Using unique data on U.S. equity lending, we document a negative impact of the mark-to-market losses of a stock's short sellers, but no impact of their gains, on the future shorting of the stock. Consistent with funding and institutional constraints limiting short selling, we further show that the effect is highly asymmetric across different loss levels and stronger among stocks facing higher margin requirements. However, loss-making short selling has no impact on price efficiency or predictive power for returns, suggesting that these constraints affect mostly uninformed shorting activity.