A Long and a Short Leg Make for a Wobbly Equilibrium
建立模型解释现货市场与借贷市场互动如何导致卖空活动突变，并实证发现卖空动态具有厚尾特征和突变性，尤其对模型识别出的易受影响股票。
We provide a model to explain how the interaction between the spot and lending markets for stocks can lead to abrupt changes in short selling activity. Furthermore, rational short sellers may choose to abandon the market even as mispricing widens. We document empirically that the dynamics of short selling are fat tailed and subject to abrupt changes, especially for the stocks that the model identifies as susceptible to such dynamics.