A stock's inclusion in an ETF has the potential to reduce its short sale constraints by decreasing search costs and lowering recall risk. This paper examines how the introduction of ETFs impacts short interest levels of their constituent stocks. We find that short selling in the underlying...

Over the 1990 to 2022 period, we show that time-variation in the returns earned from equity-market exposure can be explained well with a simple specification, which predicts: (1) much higher excess returns after the implied volatility from equity-index options exceeds a high threshold at around...