References (84)


Citations (3)



Failures to Deliver, Short Sale Constraints, and Stock Overvaluation

Don M. Autore

Florida State University - College of Business

Thomas Jason Boulton

Miami University

Marcus V. Braga-Alves

University of Akron

November 2014

The Financial Review, Forthcoming
AFA 2012 Chicago Meetings Paper

Studying a large sample of publicly available data on failures to deliver, we find that stocks reaching threshold levels of failures become significantly overvalued. Where short sale constraints are especially binding, we report extreme overpricing and subsequent reversals. These findings support the overvaluation hypothesis, although the mispricing is likely to be difficult to arbitrage because of extreme shorting costs. In addition, threshold stocks with low short interest become more overvalued than threshold stocks with high short interest. This suggests that the short interest reflects supply-side effects when the examination conditions on the difficulty of borrowing shares.

Number of Pages in PDF File: 39

Keywords: Failures to deliver, short interest, institutional ownership, short sale constraints, stock returns

JEL Classification: D02, G14, G28

Accepted Paper Series

Download This Paper

Date posted: March 17, 2010 ; Last revised: December 6, 2014

Suggested Citation

Autore, Don M. and Boulton, Thomas Jason and Braga-Alves, Marcus V., Failures to Deliver, Short Sale Constraints, and Stock Overvaluation (November 2014). The Financial Review, Forthcoming; AFA 2012 Chicago Meetings Paper. Available at SSRN: http://ssrn.com/abstract=1572356 or http://dx.doi.org/10.2139/ssrn.1572356

Contact Information

Don M. Autore
Florida State University - College of Business ( email )
821 ACADEMIC WAY, Room 314 RBA
P.O. Box 3061110
Tallahassee, FL 32306-1110
United States
850-644-7857 (Phone)
Thomas Jason Boulton (Contact Author)
Miami University ( email )
Oxford, OH 45056
United States
(513) 529-1563 (Phone)
(513) 529-8598 (Fax)
Marcus V. Braga-Alves
University of Akron ( email )
259 S. Broadway
Akron, OH 44325
United States
Feedback to SSRN

Paper statistics
Abstract Views: 1,798
Downloads: 316
Download Rank: 55,869
References:  84
Citations:  3
People who downloaded this paper also downloaded:
1. Short Sale Constraints And Stock Returns
By Charles Jones and Owen Lamont

© 2014 Social Science Electronic Publishing, Inc. All Rights Reserved.  FAQ   Terms of Use   Privacy Policy   Copyright   Contact Us
This page was processed by apollo7 in 0.281 seconds