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Short-Sellers: Informed but Restricted

Fernando Chague () and Rodrigo De-Losso, Alan De Genaro, Bruno C. Giovannetti
Authors registered in the RePEc Author Service: Bruno Cara Giovannetti () and Rodrigo De-Losso

No 2013_05, Working Papers, Department of Economics from University of São Paulo (FEA-USP)

Abstract: According to theory, the level of short-selling can predict short-run future returns throughout two channels. One is related to the demand-side of the stock lending market: short-sellers are informed. The other is related to the supply-side: short-sellers are restricted. Measuring the importance of each channel is empirically challenging once, in general, supply and demand in the stock lending market are not directly observable. This paper takes advantage of a unique dataset that contains actual shifts in lending supply for stocks on the Brazilian market, and proposes an identification strategy for the effects of both supply and demand on stock prices. We find that both channels are important

Keywords: Short-seller; short-selling; short-selling restrictions (search for similar items in EconPapers)
JEL-codes: G12 G14 (search for similar items in EconPapers)
Date: 2013-05-13
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Journal Article: Short-sellers: Informed but restricted (2014) Downloads
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