Professor Adam Reed, Cambridge Judge Business School / Dr Matthew C. Ringgenberg, Olin Business School, Washington University in St. Louis

Short sellers face a number of unique risks, such as the risk that stock loans become expensive and the risk that stock loans are recalled. We show that these short selling risks affect prices among the cross-section of stocks. Stocks with more short selling risk have lower returns, less price efficiency, and less short selling. Overall, short selling risk adds to the limits of arbitrage and may help explain the low short-interest puzzle (Lamont and Stein (2004)) and the short interest return anomaly (Boehmer, Huszar and Jordan (2009)).

Address

Trumpington St
Cambridge,
CambridgeshireCB2 1AG,
United Kingdom

Date & time

Date: 7 May 2014
Start Time: 11:30
End Time: 13:30

Audience

Open to: Members of the University of Cambridge

Category:

 

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Event location


Trumpington St
Cambridge,
CambridgeshireCB2 1AG,
United Kingdom

Event timings

Date: 7 May 2014
Start Time: 11:30
End Time: 13:30