Blocher, Jesse; Reed, Adam V.; Wesep, Edward D. Van - In: Journal of Financial Economics 108 (2013) 2, pp. 302-322
We analyze a reduced-form framework for understanding the equity loan market's impact on share prices. We show that hard-to-borrow stocks will have distinct return patterns, responding more to shocks in the supply of shares available, and to changes in the heterogeneity of investor beliefs, than...