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Stocks are special too: an analysis of the equity lending market

Citations

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Cited by:

  1. Comerton-Forde, Carole & Do, Binh Huu & Gray, Philip & Manton, Tom, 2016. "Assessing the information content of short-selling metrics using daily disclosures," Journal of Banking & Finance, Elsevier, vol. 64(C), pages 188-204.
  2. Banerjee, Snehal & Graveline, Jeremy J., 2014. "Trading in derivatives when the underlying is scarce," Journal of Financial Economics, Elsevier, vol. 111(3), pages 589-608.
  3. Boulton, Thomas J. & Braga-Alves, Marcus V., 2010. "The skinny on the 2008 naked short-sale restrictions," Journal of Financial Markets, Elsevier, vol. 13(4), pages 397-421, November.
  4. Nagel, Stefan, 2005. "Short sales, institutional investors and the cross-section of stock returns," Journal of Financial Economics, Elsevier, vol. 78(2), pages 277-309, November.
  5. Wentworth Boynton & Steven Jordan, 2006. "Will the Smart Institutional Investor Always Drive Prices to Fundamental Value?," Yale School of Management Working Papers amz2357, Yale School of Management, revised 19 Nov 2006.
  6. Susan Christoffersen & Christopher C. Geczy & David K. Musto & Adam V. Reed, 2004. "How and Why do Investors Trade Votes, and What Does it Mean?," CIRANO Working Papers 2004s-23, CIRANO.
  7. Fotak, Veljko & Raman, Vikas & Yadav, Pradeep K., 2014. "Fails-to-deliver, short selling, and market quality," Journal of Financial Economics, Elsevier, vol. 114(3), pages 493-516.
  8. Malcolm Baker & Jeffrey Wurgler, 2006. "Investor Sentiment and the Cross‐Section of Stock Returns," Journal of Finance, American Finance Association, vol. 61(4), pages 1645-1680, August.
  9. Fernando Chague & Rodrigo De Losso, Bruno Giovannetti, 2017. "Uncovering Skilled Short-sellers," Working Papers, Department of Economics 2017_01, University of São Paulo (FEA-USP).
  10. Cécile Kharoubi-Rakotomalala & Christophe Moussu, 2008. "Impact du cadre légal sur le revenu des actionnaires:preuve par la non-normalité," Revue Finance Contrôle Stratégie, revues.org, vol. 11(1), pages 185-223, March.
  11. Jones, Charles M. & Lamont, Owen A., 2002. "Short-sale constraints and stock returns," Journal of Financial Economics, Elsevier, vol. 66(2-3), pages 207-239.
  12. Larry Su & Elmina Homapour & Francisco Chiclana, 2022. "Short-Sale Constraints and Stock Prices: Evidence from Implementation of Securities Refinancing Mechanism in Chinese Stock Markets," Mathematics, MDPI, vol. 10(17), pages 1-21, September.
  13. Yongqiang Chu & David Hirshleifer & Liang Ma, 2020. "The Causal Effect of Limits to Arbitrage on Asset Pricing Anomalies," Journal of Finance, American Finance Association, vol. 75(5), pages 2631-2672, October.
  14. Bajgrowicz, Pierre & Scaillet, Olivier, 2012. "Technical trading revisited: False discoveries, persistence tests, and transaction costs," Journal of Financial Economics, Elsevier, vol. 106(3), pages 473-491.
  15. Fleming, Michael J. & Garbade, Kenneth D., 2007. "Dealer behavior in the specials market for US Treasury securities," Journal of Financial Intermediation, Elsevier, vol. 16(2), pages 204-228, April.
  16. Paul Asquith & Parag A. Pathak & Jay R. Ritter, 2004. "Short Interest and Stock Returns," NBER Working Papers 10434, National Bureau of Economic Research, Inc.
  17. Balakrishnan, Karthik & Bartov, Eli & Faurel, Lucile, 2010. "Post loss/profit announcement drift," Journal of Accounting and Economics, Elsevier, vol. 50(1), pages 20-41, May.
  18. Arturo Bris & William N. Goetzmann & Ning Zhu, 2007. "Efficiency and the Bear: Short Sales and Markets Around the World," Journal of Finance, American Finance Association, vol. 62(3), pages 1029-1079, June.
  19. Boulton, Thomas J. & Smart, Scott B. & Zutter, Chad J., 2020. "Worldwide short selling regulations and IPO underpricing," Journal of Corporate Finance, Elsevier, vol. 62(C).
  20. Massa, Massimo & von Beschwitz, Bastian, 2015. "Biased Shorts: Stock Market Implications of Short Sellers? Disposition Effect," CEPR Discussion Papers 10535, C.E.P.R. Discussion Papers.
  21. von Beschwitz, Bastian & Massa, Massimo, 2020. "Biased short: Short sellers' disposition effect and limits to arbitrage," Journal of Financial Markets, Elsevier, vol. 49(C).
  22. Bank for International Settlements, 2003. "Incentive structures in institutional asset management and their implications for financial markets," CGFS Papers, Bank for International Settlements, number 21.
  23. Wei Xiong, 2013. "Bubbles, Crises, and Heterogeneous Beliefs," NBER Working Papers 18905, National Bureau of Economic Research, Inc.
  24. Tse‐Chun Lin, 2012. "Dynamic short‐sale constraints, price limits, and price dynamics," International Journal of Managerial Finance, Emerald Group Publishing Limited, vol. 8(3), pages 256-279, June.
  25. Chague, Fernando & De-Losso, Rodrigo & Giovannetti, Bruno, 2019. "The short-selling skill of institutions and individuals," Journal of Banking & Finance, Elsevier, vol. 101(C), pages 77-91.
  26. Boulton, Thomas J. & Braga-Alves, Marcus V., 2020. "Price stabilization, short selling, and IPO secondary market liquidity," The Quarterly Review of Economics and Finance, Elsevier, vol. 76(C), pages 278-291.
  27. Adrian W. K. Cheung & Hung Wan Kot & Eric F. Y. Lam & Harry K. M. Leung, 2020. "Toward understanding short‐selling activity: demand and supply," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 60(3), pages 2203-2230, September.
  28. Bardong, Florian & Bartram, Söhnke M. & Yadav, Pradeep K., 2007. "Are Short-sellers Different?," MPRA Paper 13585, University Library of Munich, Germany, revised 16 Nov 2008.
  29. Antonio Gargano & Juan Sotes-Paladino & Patrick Verwijmeren, 2022. "Out of Sync: Dispersed Short Selling and the Correction of Mispricing," Working Papers 108, Red Nacional de Investigadores en Economía (RedNIE).
  30. Tibor Neugebauer & Sascha Füllbrunn, 2013. "Deflating Bubbles in Experimental Asset Markets: Comparative Statics of Margin Regulations," LSF Research Working Paper Series 13-14, Luxembourg School of Finance, University of Luxembourg.
  31. Contreras, Harold & Marcet, Francisco, 2021. "Arbitrageurs and overreaction to earnings surprises," Finance Research Letters, Elsevier, vol. 43(C).
  32. Beneish, M.D. & Lee, C.M.C. & Nichols, D.C., 2015. "In short supply: Short-sellers and stock returns," Journal of Accounting and Economics, Elsevier, vol. 60(2), pages 33-57.
  33. Ellis, Katrina, 2006. "Who trades IPOs? A close look at the first days of trading," Journal of Financial Economics, Elsevier, vol. 79(2), pages 339-363, February.
  34. Pavlidis, Efthymios G. & Vasilopoulos, Kostas, 2020. "Speculative bubbles in segmented markets: Evidence from Chinese cross-listed stocks," Journal of International Money and Finance, Elsevier, vol. 109(C).
  35. Khan, Mostafa Saidur Rahim & Bremer, Marc & Kato, Hideaki Kiyoshi, 2018. "Are short-sales constraints binding when there is a centralized lendable securities market? Evidence from Japan," Journal of the Japanese and International Economies, Elsevier, vol. 48(C), pages 85-96.
  36. Flynn, Sean Masaki, 2003. "Limited Arbitrage, Segmentation, and Investor Heterogeneity: Why the Law of One Price So Often Fails," Vassar College Department of Economics Working Paper Series 56, Vassar College Department of Economics.
  37. Longstaff, Francis A. & Mithal, Sanjay & Neis, Eric, 2004. "Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit-Default Swap Market, previously titled: "The Credit-Default Swap Market: Is Credit Protection Priced Correctly?&qu," University of California at Los Angeles, Anderson Graduate School of Management qt8gn7h03k, Anderson Graduate School of Management, UCLA.
  38. Santos, Francisco, 2017. "IPO market timing with uncertain aftermarket retail demand," Journal of Corporate Finance, Elsevier, vol. 42(C), pages 247-266.
  39. Archana Jain & Chinmay Jain, 2015. "Fails-to-Deliver before and after the Implementation of Rule 203 and Rule 204," The Financial Review, Eastern Finance Association, vol. 50(4), pages 611-636, November.
  40. Scruggs, John T., 2007. "Noise trader risk: Evidence from the Siamese twins," Journal of Financial Markets, Elsevier, vol. 10(1), pages 76-105, February.
  41. Chen, Yong & Da, Zhi & Huang, Dayong, 2022. "Short selling efficiency," Journal of Financial Economics, Elsevier, vol. 145(2), pages 387-408.
  42. Arısoy, Yakup Eser & Altay-Salih, Aslıhan & Pınar, Mustafa Ç, 2014. "Optimal multi-period consumption and investment with short-sale constraints," Finance Research Letters, Elsevier, vol. 11(1), pages 16-24.
  43. Baumann, Robert & Engelhardt, Bryan & Fuller, David L., 2018. "Monopoly power with a short selling constraint," The Quarterly Review of Economics and Finance, Elsevier, vol. 67(C), pages 8-13.
  44. Antonio Gargano & Juan Sotes-Paladino & Patrick Verwijmeren, 2022. "Short of Capital: Stock Market Implications of Short Sellers’ Losses," Working Papers 116, Red Nacional de Investigadores en Economía (RedNIE).
  45. Gallmeyer, Michael F. & Kaniel, Ron & Tompaidis, Stathis, 2006. "Tax management strategies with multiple risky assets," Journal of Financial Economics, Elsevier, vol. 80(2), pages 243-291, May.
  46. Mariana Khapko & Marius Zoican, 2020. "How Fast Should Trades Settle?," Management Science, INFORMS, vol. 66(10), pages 4573-4593, October.
  47. Roche, Hervé & Tompaidis, Stathis & Yang, Chunyu, 2013. "Why does junior put all his eggs in one basket? A potential rational explanation for holding concentrated portfolios," Journal of Financial Economics, Elsevier, vol. 109(3), pages 775-796.
  48. Alex Edmans & Itay Goldstein & Wei Jiang, 2011. "Feedback Effects and the Limits to Arbitrage," NBER Working Papers 17582, National Bureau of Economic Research, Inc.
  49. Edwards, Amy K. & Hanley, Kathleen Weiss, 2010. "Short selling in initial public offerings," Journal of Financial Economics, Elsevier, vol. 98(1), pages 21-39, October.
  50. Andrew J. Leone & Steve Rock & Michael Willenborg, 2007. "Disclosure of Intended Use of Proceeds and Underpricing in Initial Public Offerings," Journal of Accounting Research, Wiley Blackwell, vol. 45(1), pages 111-153, March.
  51. Richard J. Kish & Nandkumar Nayar & Wenlong Weng, 2012. "IPO pricing: a case of short-sale restrictions and divergent expectations," Quantitative Finance, Taylor & Francis Journals, vol. 12(9), pages 1439-1451, November.
  52. Alok Dixit & Vipul & Shivam Singh, 2019. "Options pricing and short‐selling in the underlying: Evidence from India," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 39(10), pages 1250-1268, October.
  53. Asquith, Paul & Pathak, Parag A. & Ritter, Jay R., 2005. "Short interest, institutional ownership, and stock returns," Journal of Financial Economics, Elsevier, vol. 78(2), pages 243-276, November.
  54. In-Mu Haw & Wenming Wang & Wenlan Zhang & Xu Zhang, 2022. "Capturing the straw in the wind: do short sellers trade on customer information?," Review of Quantitative Finance and Accounting, Springer, vol. 58(4), pages 1363-1394, May.
  55. Pekka Honkanen & Daniel Schmidt & Bastian von Beschwitz, 2022. "Passive Ownership and Short Selling," International Finance Discussion Papers 1365, Board of Governors of the Federal Reserve System (U.S.).
  56. George Alexandridis & Antonios Antoniou & Dimitris Petmezas, 2007. "Divergence of Opinion and Post‐Acquisition Performance," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 34(3‐4), pages 439-460, April.
  57. Dai, Rui & Li, Ting & Zaiats, Nataliya & Zhao, Xinlei, 2021. "Do short sellers anticipate late filings?," Journal of Corporate Finance, Elsevier, vol. 69(C).
  58. Blau, Benjamin M. & Pinegar, J. Michael, 2013. "Are short sellers incrementally informed prior to earnings announcements?," Journal of Empirical Finance, Elsevier, vol. 21(C), pages 142-155.
  59. J. Scheinkman & W. Xiong, 2002. "Overconfidence, Short-Sale Constraints and Bubbles," Princeton Economic Theory Working Papers 98734966f1c1a57373801367f, David K. Levine.
  60. Sandro Lunghi & Daniel Schmidt & Bastian von Beschwitz, 2021. "Fundamental Arbitrage under the Microscope: Evidence from Detailed Hedge Fund Transaction Data," Finance and Economics Discussion Series 2021-022, Board of Governors of the Federal Reserve System (U.S.).
  61. Eli Ofek & Matthew Richardson, 2001. "DotCom Mania: The Rise and Fall of Internet Stock Prices," NBER Working Papers 8630, National Bureau of Economic Research, Inc.
  62. Alexandridis, George & Antoniou, Antonios & Zhao, Huainan, 2008. "Belief asymmetry and gains from acquisitions," Journal of Multinational Financial Management, Elsevier, vol. 18(5), pages 443-460, December.
  63. Baker, Malcolm & Savasoglu, Serkan, 2002. "Limited arbitrage in mergers and acquisitions," Journal of Financial Economics, Elsevier, vol. 64(1), pages 91-115, April.
  64. Gârleanu, Nicolae, 2009. "Portfolio choice and pricing in illiquid markets," Journal of Economic Theory, Elsevier, vol. 144(2), pages 532-564, March.
  65. Charles M. Jones & Adam V. Reed & William Waller, 2016. "Revealing Shorts An Examination of Large Short Position Disclosures," The Review of Financial Studies, Society for Financial Studies, vol. 29(12), pages 3278-3320.
  66. Gibbs, Michael & Hao, (Grace) Qing, 2018. "Short selling around the expiration of IPO share lockups," Journal of Banking & Finance, Elsevier, vol. 88(C), pages 30-43.
  67. Eric Ghysels & João Pereira, 2003. "On Portfolio Choice, Liquidity, and Short Selling: A Nonparametric Investigation," CIRANO Working Papers 2003s-27, CIRANO.
  68. Kou Maeda & Junnosuke Shino, 2019. "Stock Lending Market and the BOJ's ETF purchasing program: Micro-Evidence from ETF Balance Sheet Data and Equity Repo Trading Data," Working Papers 1811, Waseda University, Faculty of Political Science and Economics.
  69. He, Yiyao, 2022. "Heterogeneous stock traders, endogenous bubbles, and economic fluctuations," Finance Research Letters, Elsevier, vol. 47(PA).
  70. Francis A. Longstaff & Sanjay Mithal & Eric Neis, 2005. "Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit Default Swap Market," Journal of Finance, American Finance Association, vol. 60(5), pages 2213-2253, October.
  71. Johnson, Travis L. & So, Eric C., 2012. "The option to stock volume ratio and future returns," Journal of Financial Economics, Elsevier, vol. 106(2), pages 262-286.
  72. Schwert, G. William, 2003. "Anomalies and market efficiency," Handbook of the Economics of Finance, in: G.M. Constantinides & M. Harris & R. M. Stulz (ed.), Handbook of the Economics of Finance, edition 1, volume 1, chapter 15, pages 939-974, Elsevier.
  73. D'Avolio, Gene, 2002. "The market for borrowing stock," Journal of Financial Economics, Elsevier, vol. 66(2-3), pages 271-306.
  74. Chague, Fernando Daniel & Bueno, Rodrigo de Losso da Silveira & Giovannetti, Bruno Cara, 2018. "The short-selling skill of institutions and individuals: a market-wide and out-of-sample analysis," Textos para discussão 469, FGV EESP - Escola de Economia de São Paulo, Fundação Getulio Vargas (Brazil).
  75. Lynch, Andrew & Nikolic, Biljana & Yan, Xuemin (Sterling) & Yu, Han, 2014. "Aggregate short selling, commonality, and stock market returns," Journal of Financial Markets, Elsevier, vol. 17(C), pages 199-229.
  76. Edward J. Riedl & Estelle Y. Sun & Guannan Wang, 2021. "Sentiment, Loss Firms, and Investor Expectations of Future Earnings," Contemporary Accounting Research, John Wiley & Sons, vol. 38(1), pages 518-544, March.
  77. Gregory Weitzner, 2023. "The Term Structure of Short Selling Costs," Review of Finance, European Finance Association, vol. 27(6), pages 2125-2161.
  78. Malcolm Baker & Jeffrey Wurgler, 2003. "A Catering Theory of Dividends," NBER Working Papers 9542, National Bureau of Economic Research, Inc.
  79. Patrick Bolton & José Scheinkman & Wei Xiong, 2006. "Executive Compensation and Short-Termist Behaviour in Speculative Markets," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 73(3), pages 577-610.
  80. von Beschwitz, Bastian & Chuprinin, Oleg & Massa, Massimo, 2017. "Why Do Short Sellers Like Qualitative News?," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 52(2), pages 645-675, April.
  81. Katherine Guthrie & Illoong Kwon & Jan Sokolowsky, 2017. "What Does CEOs’ Pay-for-Performance Reveal About Shareholders’ Attitude Toward Earnings Overstatements?," Journal of Business Ethics, Springer, vol. 146(2), pages 419-450, December.
  82. Michael R. Powers & David M. Schizer & Martin Shubik, 2003. "Market Bubbles and Wasteful Avoidance: Tax and Regulatory Constraints on Short Sales," Cowles Foundation Discussion Papers 1413, Cowles Foundation for Research in Economics, Yale University.
  83. Boni, Leslie, 2006. "Strategic delivery failures in U.S. equity markets," Journal of Financial Markets, Elsevier, vol. 9(1), pages 1-26, February.
  84. Chang, Eric C. & Cheng, Joseph W. & Pinegar, J. Michael & Yu, Yinghui, 2012. "Short-sale constraints: Reductions in costs of capital or overvaluation? Evidence from Hong Kong," Pacific-Basin Finance Journal, Elsevier, vol. 20(3), pages 506-520.
  85. Kasper Johansson & Thomas Schmelzer & Stephen Boyd, 2024. "Finding Moving-Band Statistical Arbitrages via Convex-Concave Optimization," Papers 2402.08108, arXiv.org.
  86. Chung, Chune Young & DeVault, Luke & Wang, Kainan, 2019. "Perceived information, short interest, and institutional demand," Journal of Empirical Finance, Elsevier, vol. 54(C), pages 22-38.
  87. Tristan L. Botelho, 2018. "Here’s an Opportunity: Knowledge Sharing Among Competitors as a Response to Buy-in Uncertainty," Organization Science, INFORMS, vol. 29(6), pages 1033-1055, December.
  88. Alexander Ljungqvist & Vikram Nanda & Rajdeep Singh, 2006. "Hot Markets, Investor Sentiment, and IPO Pricing," The Journal of Business, University of Chicago Press, vol. 79(4), pages 1667-1702, July.
  89. Stratmann, Thomas & Welborn, John W., 2013. "The options market maker exception to SEC Regulation SHO," Journal of Financial Markets, Elsevier, vol. 16(2), pages 195-226.
  90. George Alexandridis & Antonios Antoniou & Huainan Zhao, 2006. "Valuation Effects of Short Sale Constraints: the Case of Corporate Takeovers," European Financial Management, European Financial Management Association, vol. 12(5), pages 747-762, November.
  91. Christoffersen, Susan E. K. & Geczy, Christopher C. & Musto, David K. & Reed, Adam V., 2003. "The Limits to Dividend Arbitrage: Implications for Cross-Border Investment," Working Papers 03-2, University of Pennsylvania, Wharton School, Weiss Center.
  92. Duffie, Darrell & Garleanu, Nicolae & Pedersen, Lasse Heje, 2002. "Securities lending, shorting, and pricing," Journal of Financial Economics, Elsevier, vol. 66(2-3), pages 307-339.
  93. Steve Thomas, 2006. "Discussion of Short Sales Constraints and Momentum in Stock Returns," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 33(3‐4), pages 616-631, April.
  94. Beng Soon Chong & Zhenbin Liu, 2016. "CAR associated with SEO share lockups: Real or illusionary?," Review of Quantitative Finance and Accounting, Springer, vol. 47(3), pages 513-541, October.
  95. Evan Gatev & William Goetzmann & K. Rouwenhorst, 1998. "Pairs Trading: Performance of a Relative Value Arbitrage Rule," Yale School of Management Working Papers ysm3, Yale School of Management, revised 01 Aug 2000.
  96. Marsh, Ian W. & Payne, Richard, 2012. "Banning short sales and market quality: The UK’s experience," Journal of Banking & Finance, Elsevier, vol. 36(7), pages 1975-1986.
  97. Huszár, Zsuzsa R. & Prado, Melissa Porras, 2019. "An analysis of over-the-counter and centralized stock lending markets," Journal of Financial Markets, Elsevier, vol. 43(C), pages 31-53.
  98. Ofek, Eli & Richardson, Matthew & Whitelaw, Robert F., 2004. "Limited arbitrage and short sales restrictions: evidence from the options markets," Journal of Financial Economics, Elsevier, vol. 74(2), pages 305-342, November.
  99. Au, Andrea S. & Doukas, John A. & Onayev, Zhan, 2009. "Daily short interest, idiosyncratic risk, and stock returns," Journal of Financial Markets, Elsevier, vol. 12(2), pages 290-316, May.
  100. Chang, Shao-Chi & Chen, Sheng-Syan & Chou, Robin K. & Lin, Yueh-Hsiang, 2012. "Local sports sentiment and returns of locally headquartered stocks: A firm-level analysis," Journal of Empirical Finance, Elsevier, vol. 19(3), pages 309-318.
  101. Stratmann, Thomas & Welborn, John W., 2016. "Informed short selling, fails-to-deliver, and abnormal returns," Journal of Empirical Finance, Elsevier, vol. 38(PA), pages 81-102.
  102. Hackney, John & Henry, Tyler R. & Koski, Jennifer L., 2020. "Arbitrage vs. informed short selling: Evidence from convertible bond issuers," Journal of Corporate Finance, Elsevier, vol. 65(C).
  103. Illoong Kwon & Katherine Guthrie & Jan Sokolowsky, 2008. "On the Objective of Corporate Boards: Theory and Evidence," Discussion Papers 08-08, University at Albany, SUNY, Department of Economics.
  104. Chen, Zhaohui & Wilhelm Jr., William J., 2008. "A theory of the transition to secondary market trading of IPOs," Journal of Financial Economics, Elsevier, vol. 90(3), pages 219-236, December.
  105. Richmond Mathews & Naveen Khanna, 2010. "Bear Raids and Short Sale Bans: Is Government Intervention Justifiable?," 2010 Meeting Papers 165, Society for Economic Dynamics.
  106. Jose A. Scheinkman & Wei Xiong, 2003. "Overconfidence and Speculative Bubbles," Journal of Political Economy, University of Chicago Press, vol. 111(6), pages 1183-1219, December.
  107. Hanna, J. Douglas & Ready, Mark J., 2005. "Profitable predictability in the cross section of stock returns," Journal of Financial Economics, Elsevier, vol. 78(3), pages 463-505, December.
  108. He, Peng William & Jarnecic, Elvis & Liu, Yubo, 2016. "Equity issues and the impact of lead manager affiliation on broker market share and trading volume," Pacific-Basin Finance Journal, Elsevier, vol. 38(C), pages 17-33.
  109. Asher Curtis & Neil L. Fargher, 2014. "Does Short Selling Amplify Price Declines or Align Stocks with Their Fundamental Values?," Management Science, INFORMS, vol. 60(9), pages 2324-2340, September.
  110. Baker, Malcolm & Stein, Jeremy C., 2004. "Market liquidity as a sentiment indicator," Journal of Financial Markets, Elsevier, vol. 7(3), pages 271-299, June.
  111. Dmitriy Muravyev & Neil D. Pearson & Joshua M. Pollet, 2022. "Is There a Risk Premium in the Stock Lending Market? Evidence from Equity Options," Journal of Finance, American Finance Association, vol. 77(3), pages 1787-1828, June.
  112. Panos N. Patatoukas & Richard G. Sloan & Annika Yu Wang, 2022. "Valuation Uncertainty and Short-Sales Constraints: Evidence from the IPO Aftermarket," Management Science, INFORMS, vol. 68(1), pages 608-634, January.
  113. Arturo Bris & William Goetzmann & Ning Zhu, 2004. "Efficiency and the Bear: Short Sales and Markets around the World," Yale School of Management Working Papers ysm327, Yale School of Management, revised 01 Feb 2005.
  114. Chen, Joseph & Hong, Harrison & Stein, Jeremy C., 2002. "Breadth of ownership and stock returns," Journal of Financial Economics, Elsevier, vol. 66(2-3), pages 171-205.
  115. Dittmann, Ingolf & Montone, Maurizio & Zhu, Yuhao, 2023. "Wage gap and stock returns: Do investors dislike pay inequality?," Journal of Corporate Finance, Elsevier, vol. 78(C).
  116. Oleg Chuprinin & Massimo Massa & Bastian von Beschwitz, 2015. "Why Do Short Sellers Like Qualitative News?," International Finance Discussion Papers 1149, Board of Governors of the Federal Reserve System (U.S.).
  117. Boehme, Rodney & Çolak, Gönül, 2012. "Primary market characteristics and secondary market frictions of stocks," Journal of Financial Markets, Elsevier, vol. 15(2), pages 286-327.
  118. Cashman, George D. & Harrison, David M. & Sheng, Hainan, 2022. "Short sales, short risk, and return predictability in Asia-Pacific real estate markets," Pacific-Basin Finance Journal, Elsevier, vol. 73(C).
  119. Wang, Shu-Feng & Lee, Kuan-Hui & Woo, Min-Cheol, 2017. "Do individual short-sellers make money? Evidence from Korea," Journal of Banking & Finance, Elsevier, vol. 79(C), pages 159-172.
  120. Asquith, Paul & Au, Andrea S. & Covert, Thomas & Pathak, Parag A., 2013. "The market for borrowing corporate bonds," Journal of Financial Economics, Elsevier, vol. 107(1), pages 155-182.
  121. Chen, Yi-Wen & Chou, Robin K. & Lin, Chu-Bin, 2019. "Investor sentiment, SEO market timing, and stock price performance," Journal of Empirical Finance, Elsevier, vol. 51(C), pages 28-43.
  122. Alexander, Gordon J. & Peterson, Mark A., 2008. "The effect of price tests on trader behavior and market quality: An analysis of Reg SHO," Journal of Financial Markets, Elsevier, vol. 11(1), pages 84-111, February.
  123. Dongcheol Kim & Byeung‐Joo Lee, 2023. "Shorting costs and profitability of long–short strategies," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 63(1), pages 277-316, March.
  124. William M. Gentry & Charles M. Jones & Christopher J. Mayer, 2004. "Do Stock Prices Really Reflect Fundamental Values? The Case of REITs," NBER Working Papers 10850, National Bureau of Economic Research, Inc.
  125. J. Graham & J. Hughen, 2007. "Ownership structure, expectations, and short sales on the Nasdaq," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 31(1), pages 33-48, March.
  126. Reed, Adam V., 2015. "Connecting supply, short-sellers and stock returns: Research challenges," Journal of Accounting and Economics, Elsevier, vol. 60(2), pages 97-103.
  127. Susan Christoffersen & Christopher C. Geczy & David K. Musto & Adam V. Reed, 2004. "Do Shareholders' Preferences Affect their Funds' Management? Evidence from the Cross Section of Shareholders and Funds," CIRANO Working Papers 2004s-22, CIRANO.
  128. Ikeda, Naoshi, 2023. "Optimism, divergence of investors’ opinions, and the long-run underperformance of IPOs," Journal of Financial Markets, Elsevier, vol. 64(C).
  129. Feng, Xunan & Johansson, Anders C. & Wei, Dengxi, 2023. "Judging a book by its cover: Analysts and attention-driven price patterns in China's IPO market," Pacific-Basin Finance Journal, Elsevier, vol. 78(C).
  130. Bakshi, Gurdip & Madan, Dilip & Panayotov, George, 2010. "Returns of claims on the upside and the viability of U-shaped pricing kernels," Journal of Financial Economics, Elsevier, vol. 97(1), pages 130-154, July.
  131. Itamar Drechsler & Qingyi Freda Drechsler, 2014. "The Shorting Premium and Asset Pricing Anomalies," NBER Working Papers 20282, National Bureau of Economic Research, Inc.
  132. Christoffersen, Susan E.K. & Geczy, Christopher C. & Musto, David K. & Reed, Adam V., 2005. "Crossborder dividend taxation and the preferences of taxable and nontaxable investors: Evidence from Canada," Journal of Financial Economics, Elsevier, vol. 78(1), pages 121-144, October.
  133. George D. Cashman & David M. Harrison & Hainan Sheng, 2022. "Short selling and options trading: A tale of two markets," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 45(2), pages 313-338, June.
  134. Beaver, William & McNichols, Maureen & Price, Richard, 2016. "The costs and benefits of long-short investing: A perspective on the market efficiency literature," Journal of Accounting Literature, Elsevier, vol. 37(C), pages 1-18.
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