Short‐Selling Risk
研究发现卖空风险（如股票借贷成本上升或召回风险）会影响股票价格，卖空风险高的股票回报更低、价格效率更差、卖空活动也更少。
ABSTRACT Short sellers face unique risks, such as the risk that stock loans become expensive and the risk that stock loans are recalled. We show that short‐selling risk affects prices among the cross‐section of stocks. Stocks with more short‐selling risk have lower returns, less price efficiency, and less short selling.