Short sales, institutional investors and the cross-section of stock returns

By Stefan Nagel. 2005

1,078 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/77a995fc016d1c9d6aa1533b828b90fcc64475d9

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Citations in the corpus

Short Interest, Institutional Ownership, and Stock Returns (2005, background): “Finally, on pp. 2275 and 2277 in their paper, they report the point estimates and t-statistics from additional robustness checks, with implied standard errors of an implausibly low 3-6 basis points per month.”
The skinny on the 2008 naked short-sale restrictions (2010, neutral): “, 2002; Jones and Lamont, 2002), breadth of ownership (Chen et al., 2002; Asquith et al., 2005; Nagel, 2005), and legal threats,”
The Growth and Limits of Arbitrage: Evidence from Short Interest (2014, background): “Relatedly, Nagel (2012) argues that the returns to”
Paying Attention: Overnight Returns and the Hidden Cost of Buying at the Open (2012, background): “This number is higher than the 34% reported in Nagel (2005), because our sample is limited to larger firms.”
Short- and Long-Horizon Behavioral Factors (2019, positive): “We calculate value-weighted returns for each portfolio, and corresponding Newey and West (1987) corrected t-statistics. Following the literature, we use three friction proxies: the illiquidity measure (ILLIQ) of Amihud (2002), the institutional ownership defined as shares held by institutions divide”
Market reactions to the arrival and containment of COVID-19: An event study (2020, background): “We include the stock’s relative amount of institutional ownership since it has established in the literature as proxy for the supply of shares available to be shorted (e.g. Asquith et al., 2005; D’avolio, 2002; Nagel, 2005).”
Short Selling and the Price Discovery Process (2013, background): “But, stocks with higher institutional holdings are also easier to short (Nagel 2005), because the supply of lendable shares is greater in these stocks.”
Investor Sentiment and Stock Market Liquidity (2015, background): “Following the studies by Chen, Hong, and Stein [2002] and Nagel [2005], I use the number of institutional investors holding shares as the proxy for short-sale constraints because short-selling involves borrowing stocks and institutional investors are major suppliers of the shares to borrow.”
Reference-Dependent Preferences and the Risk-Return Trade-Off (2017, neutral): “These alternative measures of risk can be viewed, and have been used, as proxies for information uncertainty in Zhang (2006), idiosyncratic parameter uncertainty or information risk in Johnson (2004), divergence of opinion in Diether, Malloy, and Scherbina (2002), parameter uncertainty over the firm”
Short Arbitrage, Return Asymmetry, and the Accrual Anomaly (2011, positive): “In Model 3, we follow Nagel (2005) and construct a similar residual institutional ownership measure for the 2-firm portfolio, Residual IO, defined as the residual in the regression of lnIO on lnSize and squared lnSize, all measured at the 2-firm portfolio level. lnIlliquidity is the average…”