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Toward understanding short-selling activity: Demand and supply
Adrian W. K. Cheung1; Hung Wan Kot2; Eric F. Y. Lam3; Harry K. M. Leung4
2019
Source PublicationAccounting and Finance
ISSN1467-629X
Abstract

We investigate the demand and supply sides of short‐selling activity in the US from 2003 to 2015. We construct four types of demand‐side variables from fundamentals, and three types of supply‐side variables from institutional ownership (IO) and stock loan data. The supply‐side variables play a more important role in determining short selling than the demand‐side variables. The IO of quasi‐indexer type is the most important supply‐side variable, while the arbitrage and hedging with options market is the most important demand‐side variable. Finally, a portfolio sorting approach confirms the same results.

KeywordInstitutional Ownership Short Selling DemAnd And Supply Borrowing Cost
DOIhttps://doi.org/10.1111/acfi.12430
Language英语
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Document TypeJournal article
CollectionFaculty of Business Administration
DEPARTMENT OF FINANCE AND BUSINESS ECONOMICS
Affiliation1.Flinders Business, College of Business, Governance and Law, Flinders University, Adelaide, SA, Australia
2.Cheung Kong Graduate School of Business, Beijing, China
3.Department of Finance and Business Economics, University of Macau, Macau, China
4.Department of Finance and Decision Sciences, Hong Kong Baptist University, Kowloon, Hong Kong
Recommended Citation
GB/T 7714
Adrian W. K. Cheung,Hung Wan Kot,Eric F. Y. Lam,et al. Toward understanding short-selling activity: Demand and supply[J]. Accounting and Finance,2019.
APA Adrian W. K. Cheung,Hung Wan Kot,Eric F. Y. Lam,&Harry K. M. Leung.(2019).Toward understanding short-selling activity: Demand and supply.Accounting and Finance.
MLA Adrian W. K. Cheung,et al."Toward understanding short-selling activity: Demand and supply".Accounting and Finance (2019).
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