The Market for Corporate Control as a Limit to Short Arbitrage
研究发现公司控制权市场会给卖空者带来显著约束，因为目标公司股价在收购公告后通常上涨，导致卖空者亏损；当收购可能性较高时，卖空者要求更高回报，这削弱了市场效率。
Abstract We hypothesize that corporate takeover markets create significant constraints for short sellers. Both short sellers and corporate bidders often target firms with declining economic prospects. Yet, a target firm’s stock price generally increases upon a takeover announcement, resulting in losses for short sellers. Therefore, short sellers should require higher rates of return when the takeover likelihood is higher. Consistent with this prediction, the return predictability of monthly short interest increases with industry-level takeover probability and decreases as takeover defenses are implemented. Our results suggest that efficient takeover markets create trading frictions for short sellers and can therefore inhibit overall market efficiency.