How prevalent are short squeezes? Evidence from the US and Europe
提出新指标识别由价格急涨引发的市场轧空和通过股票召回识别的贷方轧空，发现轧空事件虽罕见且短暂，但市场轧空会损害价格发现，而贷方轧空则无此影响。
We develop a novel measure to identify short squeezes triggered by sharp price increases. These “market squeezes” drive short sellers to close their positions early. To provide a comprehensive analysis of short squeeze dynamics, we also examine lender squeezes, identified through share recalls. We find that stock-day short-squeeze events are rare and short-lived. However, the quarterly proportion of unique stocks experiencing market squeezes is 9.9% (12.3%) in the US (EU), compared to 8.7% (5.4%), for lender squeezes. Our analysis shows that market and lender squeezes are driven by different determinants. We find that market squeezes impair price discovery, consistent with significant declines in short interest after these events. This contrasts with lender squeezes, after which short interest remains stable or increases, and price discovery remains unaffected.