The market for borrowing stock

By G. D'Avolio. 2002

1,186 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/c9b04237cd9d2003242b94d6ccd0d9619ae0560d

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Citations in the corpus

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.”
Deviations from Put-Call Parity and Stock Return Predictability (2010, neutral): “D’Avolio (2002) and Geczy, Musto, and Reed (2002) provide an overview of the lending market for stocks and evidence that short sales restrictions are not uncommon.”
The skinny on the 2008 naked short-sale restrictions (2010, positive): “This is consistent with D’Avolio (2002) and Nagel (2005), who find that low breadth of ownership exacerbates short-sale constraints.”
Asset Prices Under Short-Sale Constraints (2006, background): “From Equations (12), (15) and the market-clearing condition (7), we can solve for the equilibrium price p∗:”
Breadth of Ownership and Stock Returns (2002, background): “Variation across stocks in short interest may instead reflect variation in the transactions costs of shorting, perhaps because some stocks have greater institutional ownership and thus have more of their shares available for lending (DAvolio, 2001).”
Short sales, institutional investors and the cross-section of stock returns (2005, neutral): “Unfortunately, existing data sets on stock loans and lending fees, analyzed in D’Avolio (2002), Geczy, Musto, and Reed (2002), and Cohen, Diether, and Malloy (2004) cover time”
Does Option Trading Convey Stock Price Information (2014, background): “Institutional ownership as a proxy for the market supply of short interests has a negative relation to the difficulty of selling short (D’Avolio, 2002; Asquith, Pathak, and Ritter, 2005).”
Do Short Sellers Target Firms with Poor Earnings Quality? Evidence from Earnings Restatements (2006, background): “For more institutional details on short selling, please see D’Avolio (2002), Geczy, Musto and Reed (2002) and Dechow et al.”
Short-Sale Strategies and Return Predictability (2009, background): “costly to short, all else equal (D’Avolio (2002)).”