The Big Short: Short Selling Activity and Predictability in House Prices
研究了投资者如何利用金融证券做空房价，发现房地产投资信托的卖空活动增加能预测下月房价下跌，效果因地域和周期而异。
Abstract We study how investors can use financial securities to speculate on the decrease of house prices. Unlike most asset types, houses are subject to high trading frictions and cannot be sold short directly. Using U.S. equity lending data from 2006 through 2013, we find evidence that an increase in the short selling activity of real estate investment trusts (REITs) forecasts a decrease in house prices in the subsequent month. The magnitude and significance of this effect vary with the geographical location of the REITs' underlying properties and with the housing cycle.