Short Squeezes and Their Consequences
研究了轧空现象，即借入股票被召回且卖空者无法找到新股票时被迫平仓，发现对最难借入的股票，轧空概率不低且成本高，显著影响卖空收益。
Abstract A short squeeze occurs if borrowed shares are recalled and the short seller is unable to find another source of shares. This forces the short seller to terminate a position early. For most stocks, the probability of a short squeeze is very low. Short squeezes, however, are not unusual for the hardest to borrow stocks. For these stocks, trading costs from squeezes are high and have a significant impact on the returns to short selling. For hard-to-borrow stocks, short sellers also miss out on significant abnormal returns because squeezes force them to close positions.