Toward understanding short‐selling activity: demand and supply

Adrian (Wai-Kong) Cheung (), Hung Wan Kot, Eric F. Y. Lam and Harry K. M. Leung

Accounting and Finance, 2020, vol. 60, issue 3, 2203-2230

Abstract: We investigate the demand and supply sides of short‐selling activity in the US from 2003 to 2015. We construct four types of demand‐side variables from fundamentals, and three types of supply‐side variables from institutional ownership (IO) and stock loan data. The supply‐side variables play a more important role in determining short selling than the demand‐side variables. The IO of quasi‐indexer type is the most important supply‐side variable, while the arbitrage and hedging with options market is the most important demand‐side variable. Finally, a portfolio sorting approach confirms the same results.

Date: 2020
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
https://doi.org/10.1111/acfi.12430

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:bla:acctfi:v:60:y:2020:i:3:p:2203-2230

Ordering information: This journal article can be ordered from
http://www.blackwell ... bs.asp?ref=0810-5391

Access Statistics for this article

Accounting and Finance is currently edited by Robert Faff

More articles in Accounting and Finance from Accounting and Finance Association of Australia and New Zealand Contact information at EDIRC.
Bibliographic data for series maintained by Wiley Content Delivery ().