Journal of Finance, Forthcoming
47 Pages Posted: 20 Aug 2013 Last revised: 10 Nov 2017
Date Written: January 21, 2017
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.
Keywords: short selling-risk, equity lending, market efficiency, limits to arbitrage, short sale
JEL Classification: G12, G14
Suggested Citation: Suggested Citation