Costly Arbitrage and Idiosyncratic Risk: Evidence from Short Sellers

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Ownership Structure , Limits to Arbitrage and Stock Returns: Evidence from Equity Lending Markets (2016, unknown): “This is consistent with Duan et al. (2010), who show how idiosyncratic risk forecasts lower abnormal returns only for stocks with high short interest.”
Does Academic Research Destroy Stock Return Predictability (2016, background): “They attribute this result to lower transaction costs and more trading activity from informed traders.”
Idiosyncratic Risk, Long-Term Reversal, and Momentum (2010, background): “Duan et al. (2010) show that the low subsequent returns of highly shorted stocks arise only in stocks with high idiosyncratic risk, while Duan et al. (2009) show that the high subsequent returns of stocks that are bought by mutual funds arise only in stocks with high idiosyncratic risk.”