Deleveraging Risk
研究了投资于杠杆投资者持有的证券所面临的风险，发现当资金供给出现负面冲击时，卖空比例高的股票会经历大幅正回报和卖空减少。
Deleveraging risk is the risk attributable to investing in a security held by levered investors. When there is an aggregate negative shock to the availability of funding capital, securities with a greater presence of levered investors experience extreme return realizations as these investors unwind their positions. Using data on equity loans as a proxy for the degree of levered positions in a given stock, we find robust evidence of deleveraging risk. Stocks with a high degree of short selling experience large positive returns and a decrease in short selling around periods of funding capital scarcity.