We review the academic findings from psychology and economics on disagreement—
specifically, the effect of disagreement on asset prices. We discuss measurement of …

Short-sale costs eliminate the abnormal returns on asset pricing anomaly portfolios. While
many anomalies persist out-of-sample, they cannot profitably be exploited due to stock …

We provide novel evidence that arbitrageurs use exchange-traded funds (ETFs) as an
avenue to circumvent short-sale constraints at the stock level. Using a large sample of US …

We develop a dynamic model of costly stock short-selling and lending market and obtain
implications that simultaneously support many empirical regularities related to short-selling …

A short squeeze occurs if borrowed shares are recalled and the short seller is unable to find
another source of shares. This forces the short seller to terminate a position early. For most …

This article investigates the short-side anomaly trading behavior of alternative mutual funds
(AMFs) based on their short positions in US domestic equities. In aggregate, AMFs …

Several influential studies show that options volatilities and trading volume predict stock
returns. This predictability is puzzling because market participants can readily observe …

I find that short interest significantly and negatively predicts aggregate stock returns in 24 of
32 countries examined. This predictability survives out-of-sample tests, persists outside of …

We investigate the impact of short selling activity on price volatility in the corporate bond
market. We find that bond short selling activity is positively related to volatility, trading …

Short sellers are widely known to be informed, which would typically suggest that they
demand liquidity. We obtain comprehensive transaction-level data to decompose daily short …