Supply and Demand Shifts in the Shorting Market
利用大型机构投资者的股票借贷费用和数量数据，分离卖空市场的供给和需求变化，发现卖空需求能预测未来股票回报，需求增加导致下月负异常回报2.98%，且信息环境较弱时效应更强。
ABSTRACT Using proprietary data on stock loan fees and quantities from a large institutional investor, we examine the link between the shorting market and stock prices. Employing a unique identification strategy, we isolate shifts in the supply and demand for shorting. We find that shorting demand is an important predictor of future stock returns: An increase in shorting demand leads to negative abnormal returns of 2.98% in the following month. Second, we show that our results are stronger in environments with less public information flow, suggesting that the shorting market is an important mechanism for private information revelation.