Failures to Deliver, Short Sale Constraints, and Stock Overvaluation
利用公开的交割失败数据，研究发现达到阈值水平的股票会出现显著高估，尤其在卖空约束严格时，高估更极端且随后反转，支持高估假说。
Abstract Studying a large sample of publicly available data on failures to deliver, we find that stocks reaching threshold levels of failures become significantly overvalued. Where short sale constraints are especially binding, we report extreme overpricing and subsequent reversals. These findings support the overvaluation hypothesis, although the mispricing is likely to be difficult to arbitrage because of extreme shorting costs. In addition, threshold stocks with low short interest become more overvalued than threshold stocks with high short interest. This suggests that the level of short interest reflects supply‐side effects when the examination conditions on the difficulty of borrowing shares.