Showing 1 - 2 of 2 results

Sort By
  • Relevance
  • Newest
  • Oldest

Working Paper

Deleveraging Risk

Using various measures of short selling activity for a large sample of U.S. securities, we find evidence that deleveraging risk—the risk of losses due to a sudden and widespread reduction in stocks held by levered investors—affects equity returns.

Journal Article

Price Efficiency and Short Selling

Using a unique dataset with weekly stock-lending transactions across 26 countries, this paper estimates the impact of short-sale constraints on measures of price efficiency.