Dynamic Equilibrium with Costly Short-Selling and Lending Market
构建了一个成本高昂的股票卖空与借贷市场的动态模型，同时解释了卖空相关的多个实证规律，如卖空比例与费用正相关、负向预测收益，以及卖空风险对收益和波动的影响。
Abstract We develop a dynamic model of costly stock short-selling and lending market and obtain implications that simultaneously support many empirical regularities related to short-selling. In our model, investors’ belief disagreement leads to shorting demand, whereby short-sellers pay shorting fees to borrow stocks from lenders. Our main novel results are as follows. Short interest is positively related to shorting fee and predicts stock returns negatively. Higher short-selling risk can be associated with lower stock returns and less short-selling activity. Stock volatility is increased under costly short-selling. An application to GameStop episode yields implications consistent with observed patterns.