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

    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.

    Original languageEnglish
    Pages (from-to)2203-2230
    Number of pages28
    JournalAccounting and Finance
    Volume60
    Issue number3
    Early online date12 Dec 2018
    DOIs
    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

    Fingerprint

    Dive into the research topics of 'Toward understanding short-selling activity: demand and supply'. Together they form a unique fingerprint.

    Cite this