Journal of Finance, Volume 73, Issue 2, April 2018

卖空风险

作者：Joseph E. Engelberg (University of California),

Adam V. Reed (University of North Carolina),

Matthew C. Ringgenberg (University of Utah)

摘要：卖空交易者面临着独特的风险，例如股票贷款变得昂贵的风险以及股票贷款被召回的风险。我们发现，卖空风险影响股票的横截面价格。卖空风险较大的股票，其收益较低，定价有效性较差，卖空较少。

Short-Selling Risk

Joseph E. Engelberg (University of California), Adam V. Reed (University of North Carolina), Matthew C. Ringgenberg (University of Utah)

ABSTRACT

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.

原文链接：

https://onlinelibrary.wiley.com/doi/abs/10.1111/jofi.12601

翻译：秦秀婷