Short-Selling Risk

Short-Selling Risk

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 sh...

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Veröffentlicht in:The Journal of finance (New York) 2018-04, Vol.73 (2), p.755-786
Hauptverfasser: ENGELBERG, JOSEPH E., REED, ADAM V., RINGGENBERG, MATTHEW C.
Format: Artikel
Sprache:eng
Schlagworte:
Loans
Prices
Risk exposure
Securities industry
Short sales
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Beschreibung
Zusammenfassung: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.
ISSN:0022-1082
1540-6261
DOI:10.1111/jofi.12601