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

The result of a conflict of interests between the management, the owners, and the rest of the
stakeholders in the company, and according to the principle of rational choice, which each …

Much empirical evidence shows that stock short-selling costs and bans have significant
effects on option prices. We reconcile these findings by providing a dynamic analysis of …

I microfound and estimate a tractable demand system in which both the spot and the lending
markets jointly clear. In the spot market, heterogeneous investors subject to short-selling …

Using high-frequency disagreement data from the investor social network StockTwits, we
find that greater investor disagreement facilitates informed trading by activists and short …

We find that equity loan fees, which have been largely ignored by the anomalies literature,
are the best predictor of cross-sectional returns. When compared with 102 other anomalies …

We study the association between daily changes in short selling activity and financial stock
prices during extreme events using TailCoR, a measure of tail correlation. For the largest …

We show that the average difference between the implied volatilities of call and put options
on individual equities, which we term the implied volatility spread (IVS), has strong predictive …

Investigating how ETF ownership impacts anomalies and market efficiency, we find that low
ETF ownership stocks yield higher returns, greater Sharpe ratios, and more significant …

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 …