List of Academic Papers investigating short-selling
DataExplorers has a proprietary OTC database of stock lending information which contains over $15 trillion lendable assets in global equities, fixed income and convertibles (May 2008). Academic institutions around the world have been active in using this data to break new ground in the field of short selling. Below is a list of academic papers which will be of interest to anyone involved in the quantitative analysis of shorting markets.
McKenzie and Henry - The Information Content of Trading Volume and Short Sales
Purnanandam and Seyhun - Shorts and Insiders
Lo, Andrew, and Patel, Pankaj - 130/30, The New Long-Only
Geczy, C, Musto, D and Reed, A - Stocks are special too - an analysis of the Equity Lending Market
Malloy, Cohen, Diether, LBS, 2005 - Supply and Demand Shifts in the Shorting Market (SSRN)
Sigurdsson & Saffi, LBS, 2007 - Price Efficiency and Short Selling (SSRN)
Edward M. Miller, Journal of Finance, 1977 - Risk, Uncertainty and Divergence of Opinion (JSTOR)
Asquith, Pathak & Ritter, 2004 - Short Interest, Institutional Ownership and Stock Returns (SSRN)
Download patterns_in_stock_lending.doc - James Clunie, Yi Wu, Edinburgh University (Unpublished)
Clunie, Moles & Terkhova - Anatomy of Short Squeezes - Please call Alex Hofmann on +44 207 392 4010 for further information on this paper.
Au, Doukas and Onayev - Short Selling, Idiosyncratic Risk and Stock Returns in the UK (SSRN)
If you wish to discuss any of these papers, or if you wish to carry out innovative research into the following topics: short squeezes, risk management, SL fee analysis, please call Alex Hofmann on +44 207 392 4010.
