Ownership Structure, Limits to Arbitrage, and Stock Returns: Evidence from Equity Lending Markets
研究了机构所有权结构如何通过影响卖空约束产生套利限制，发现所有权更集中、短期化、被动性低的股票借贷供给更少、卖空成本更高，导致错误定价纠正延迟，并在正卖空需求冲击后一周出现额外负异常回报。
We examine how institutional ownership structure gives rise to limits to arbitrage through its impact on short-sale constraints. Stocks with lower, more concentrated, short-term, and less passive ownership exhibit lower lending supply, higher costs of shorting, and higher arbitrage risk. These constraints limit the ability of arbitrageurs to take short positions and delay the correction of mispricing. Stocks with more concentrated ownership exhibit smaller announcement day reactions, larger post-earnings announcement drift, and an additional negative abnormal return of 0.47% in the week following a positive shorting demand shock.