Short Squeezes
利用每日卖空数据，研究了轧空的普遍性和持续性，发现轧空平均在七个交易日内消退，且受卖空者资本约束和标的股票卖空约束驱动，宏观经济事件期间风险更高。
We investigate the prevalence and persistence of short squeezes and the corresponding economic consequences on the stocks being squeezed. Using daily short sale data, we provide evidence that a short squeeze on average subsides within seven trading days and can be driven by both the capital constraint of the short sellers and the short sale constraint of the underlying stocks. The risk of being squeezed is higher during major macroeconomic events. Further analyses reveal that squeezed stocks experience an increase in the demand for and the cost of borrowing the shares and in trading volume, idiosyncratic volatility, and abnormal returns.