Toward understanding short-selling activity: demand and supply

Adrian W.K. Cheung, Hung Wan KOT, Eric F.Y. Lam, Harry K.M. Leung

Research output: Contribution to journalArticlepeer-review


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.

Original languageEnglish
Pages (from-to)2203-2230
Number of pages28
JournalAccounting and Finance
Issue number3
Early online date12 Dec 2018
Publication statusPublished - Sep 2020

Scopus Subject Areas

  • Accounting
  • Finance
  • Economics, Econometrics and Finance (miscellaneous)

User-Defined Keywords

  • Borrowing cost
  • Demand and supply
  • Institutional ownership
  • Short selling


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