Costly short -selling and stock price adjustment to earnings announcements

By Adam V. Reed. 2002

156 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/83be02b759782966aedbda1be94b7ca7cda1054f

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Citations in the corpus

Short Selling and the Price Discovery Process (2013, unknown): “security lender in the late 1990s (Reed 2007), and data on share lending supply and borrowing fees from U.”
Short sales, institutional investors and the cross-section of stock returns (2005, unknown): “The findings in this paper tie in well with other recent work showing that constraints on shortselling can lead to an optimism-bias in prices (Chen, Hong, and Stein, 2002; Diether, Malloy, and Scherbina, 2002; Jones and Lamont, 2002; Lamont, 2004; Ofek, Richardson, and Whitelaw, 2004; Reed, 2003).”
The market for borrowing stock (2002, unknown): “Geczy, Musto, and Reed (2001) (GMR) use one year of data (November 1998 - October 1999) from a U.S. custody bank to study borrowing costs for IPOs, risk arbitrage (merger speculation), and the construction of the “factor” portfolios (SMB, HML, and MOM).”
A Multiple Lender Approach to Understanding Supply and Search in the Equity Lending Market (2013, methodology): “Based on D’Avolio (2002) and Geczy, Musto, and Reed (2002), we calculate specialness by taking the benchmark rate to be the federal funds rate minus a 10–20 basis point spread for each lender.”
Divergence of Opinion and Equity Returns (2006, background): “expectations suggesting that divergence of opinion proxies for risk (see Williams (1977), Mayshar (1983), Epstein and Wang (1994), Merton (1987) and Varian (1985)).”
Supply and Demand Shifts in the Shorting Market (2007, background): “Consistent with a number of recent papers (Jones and Lamont (2002), Reed (2002), and Geczy, Musto, and Reed (2002)), we find that high shorting costs, specifically Loan Fee > 5% per annum, predict future negative returns.”
Go Down Fighting: Short Sellers vs. Firms (2012, background): “Recent articles examine the market for borrowing stocks (D'Avolio 2002; Geczy, Musto, and Reed 2002; Mitchell, Pulvino, and Stafford 2002; Ofek and Richardson 2003; Reed 2007; Cohen, Diether, and Malloy 2007), unfortunately using sample periods of short duration.”
Predicting stock price movements from past returns: The role of consistency and tax-loss selling (2004, background): “Hence, even if short-sales restrictions were costly, and D'Avolio (2002) and Reed (2002) find that for most stocks they are not, there still are substantial rents that can be earned from a long strategy that beats a similar book-to-market, size, and industry-matched benchmark.”