Supply and Demand Shifts in the Shorting Market

By Lauren H. Cohen, Karl B. Diether, Christopher J. Malloy. 2007

468 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/f919ab10d898c096315da9a23a9d256d3d3e0c71

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Citations in the corpus

Short-Sale Strategies and Return Predictability (2009, background): “For example, easy-to-borrow stocks may have loan fees as low as 0.05% per annum, but some hard-to-borrow stocks have loan fees greater than 10% per annum (Cohen, Diether, and Malloy, 2007).”
Which Shorts Are Informed (2008, unknown): “The clearest pecuniary cost is associated with the rebate rate, which has been studied by D’Avolio (2002), Geczy, Musto, and Reed (2002), Jones and Lamont (2002), Ofek and Richardson (2003), Ofek, Richardson, and Whitelaw (2004), and Cohen et al. (2007), among others.”
A Multiple Lender Approach to Understanding Supply and Search in the Equity Lending Market (2013, unknown): “increases in lending fees ( Cohen, Deither, and Malloy, 2006 ).”
Deviations from Put-Call Parity and Stock Return Predictability (2010, unknown): “The first regression of Table 12, excluding the volatility spread, confirms previous results (e.g., Ofek et al. (2004) and Cohen, Diether, and Malloy (2007)) that a more negative rebate spread for stocks on special predicts future stock returns: stocks that are more difficult to short have lower…”
The effect of price tests on trader behavior and market quality: An analysis of Reg SHO ☆ (2008, background): “These papers include D’Avolio (2002), Geczy et al. (2002), Duffie et al. (2002), Jones and Lamont (2002), Asquith et al. (2005), Cohen et al. (2006), and Nagel (2005).”
Competition of the Informed: Does the Presence of Short Sellers Affect Insider Selling? (2015, methodology): “These traders are also informed and can trade against managerial misconduct (e.g., Senchack and Starks, 1993; Asquith et al. 2005; Cohen et al., 2007; Boehmer et al., 2008), but are on average slower than the insiders.”
Liquidity and the Post-Earnings-Announcement Drift (2009, methodology): “We turned to Cohen, Diether, and Malloy (2007) , who used a proprietary database of stock-lending activity from a large institution that is a market maker in many small stock-lending markets.”
Ownership Structure , Limits to Arbitrage and Stock Returns: Evidence from Equity Lending Markets (2016, unknown): “Comparing the abnormal returns across DOUT = 1 and DOUT = 0 shows that an outward demand shift is associated with a negative future return, as documented by Cohen et al. (2007). The average difference is statistically significant at 1% and equal to -0.”
Price Efficiency and Short Selling (2011, unknown): “In Cohen, Diether, and Malloy (2007), shares on loa are coupled with loan fees as proxies to detect shocks to supply and demand.”
Short Arbitrage, Return Asymmetry, and the Accrual Anomaly (2011, unknown): “…short arbitrage are more severe, there is greater stock overpricing and return predictability (Jones and Lamont (2002), Lamont and Thaler (2003), Ofek, Richardson and Whitelaw (2004), Ali and Trombley (2006), Bris, Goetzmann, and Zhu (2007), Cohen, Diether, and Malloy (2007), and Greenwood (2009)).”
In Short Supply: Short Sellers and Stock Returns (2015, unknown): “Finally Cohen, Diether, and Malloy (2007) examine monthly changes in the SIR variable, and conclude that the negative returns observed after increases in SIR seem to be economically large even after accounting for likely transaction costs.”