COHEN, LAUREN; DIETHER, KARL B.; MALLOY, CHRISTOPHER J. - In: Journal of Finance 62 (2007) 5, pp. 2061-2096
Using proprietary data on stock loan fees and quantities from a large institutional investor, we examine the link between the shorting market and stock prices. Employing a unique identification strategy, we isolate shifts in the supply and demand for shorting. We find that shorting demand is an...