This systematic literature review critically analyzes studies on the determinants of short
selling and the implications for information distribution, real economic decisions, financial …

Long short-term memory (LSTM) networks are a state-of-the-art technique for sequence
learning. They are less commonly applied to financial time series predictions, yet inherently …

We show that short interest is arguably the strongest known predictor of aggregate stock
returns. It outperforms a host of popular return predictors both in and out of sample, with …

Buying is easier than shorting for many equity investors. Combining this arbitrage
asymmetry with the arbitrage risk represented by idiosyncratic volatility (IVOL) explains the …

We study sources of investor disagreement using sentiment of investors from a social media
investing platform, combined with information on the users' investment approaches (eg …

Using a large sample of US public firms, we find robust evidence that short interest is
positively related to one-year ahead stock price crash risk. The evidence is consistent with …

The media has an incentive to publish sensational news. We study how this incentive affects
the accuracy of media coverage in the context of merger rumors. Using a novel dataset, we …

Socially responsible (SR) institutions tend to focus more on the environmental, social, and
governance (ESG) performance and less on quantitative signals of value. Consistent with …

Volatility is an important component of asset pricing; an increase in volatility on markets can
trigger changes in the risk distribution of financial assets. In conventional financial theory …

We examine the causal effect of limits to arbitrage on 11 well‐known asset pricing
anomalies using the pilot program of Regulation SHO, which relaxed short‐sale constraints …