The Cost of Short‐Selling Liquid Securities
研究发现，卖空者也可能为流动性证券支付净溢价，并分解了流动性溢价中多头和空头的贡献。实证表明，1995年11月至2009年7月期间，卖空者承担了美国国债流动性溢价的很大一部分。
ABSTRACT Standard models of liquidity argue that the higher price for a liquid security reflects the future benefits that long investors expect to receive. We show that short‐sellers can also pay a net liquidity premium if their cost to borrow the security is higher than the price premium they collect from selling it. We provide a model‐free decomposition of the price premium for liquid securities into the net premiums paid by both long investors and short‐sellers. Empirically, we find that short‐sellers were responsible for a substantial fraction of the liquidity premium for on‐the‐run Treasuries from November 1995 through July 2009.