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Short-selling risk in Australia

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  • Ang (Chewie), Tze Chuan
  • Hayat, Aziz
  • Li, Bob

Abstract

We confirm the negative relation between short-selling risk and stock returns in the US. We estimate a measure of dynamic short-selling risk in Australia and find a similar negative relation in Australia. The negative relation is more pronounced amongst small Australian stocks, but is absent in large Australian stocks. Australian stocks have lower equity loan supply and short interest, but higher equity loan fees and longer loan length than US stocks. The higher variation in equity loan utilization rate and loan characteristics in Australian stocks possibly contribute to their higher short-selling risk compared to their US counterparts.

Suggested Citation

  • Ang (Chewie), Tze Chuan & Hayat, Aziz & Li, Bob, 2020. "Short-selling risk in Australia," Pacific-Basin Finance Journal, Elsevier, vol. 63(C).
    • Handle: RePEc:eee:pacfin:v:63:y:2020:i:c:s0927538x20303437
    DOI: 10.1016/j.pacfin.2020.101406
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    References listed on IDEAS

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