Unpredicted costly dividends and temporary short squeezes
研究发现现金股息会增加卖空成本，导致卖空者回避，从而引发临时轧空，使高卖空股票价格过度上涨后完全回落，且主要由未预期股息、低借贷费用和高股息收益率的股票驱动。
Abstract We argue that cash dividend is a type of arbitraging cost that short sellers tend to avoid. We find that dividend announcements lead to temporary short squeezes, causing the prices of highly shorted stocks to overshoot and fully revert over time. These stocks also experience excessive buy‐initiated trades and abnormal trading volume in response to dividend announcements. These results are driven mainly by stocks with unpredicted dividends, low lending fees, and high dividend yields. Overall, results suggest that news of a dividend distribution is magnified by short squeezes due to increased short costs and generates excessive nonfundamentals‐driven price fluctuations.