We use data on signed option volume to study which components of option volume predict stock returns and resolve the seemingly inconsistent results in the literature. We find no evidence that trades related to synthetic short positions in the underlying stocks contain more information than...

We find that short sale costs eliminate the abnormal profits generated by asset pricing anomalies. While many anomalies persist out-of-sample, they cannot be profitably exploited due to stock borrow fees. Using a comprehensive sample of 162 anomalies, we show that the average of these long-short...

The option implied volatility spread and skew predict stock returns. These variables also reflect the expected cost of borrowing stock to sell short. The stock borrowing fee implied from options prices predicts changes in quoted borrowing fees and stock returns; however, the volatility spread...

We examine the profitability of hedge fund equity short sales. We identify opening and closing trades by combining data on funds' transactions and holdings. Short sales covered within five trading days are highly profitable, but those kept open longer are not. Some of the profitability is due to...

Existing literature nds that proxies for short-sale constraints do not predict bond returns.Using more comprehensive data over a longer sample period and rating and maturity-matchedbenchmarks we nd that utilization, which proxies for short-sale constraints, predicts negativereturns. Many lending...

The inelastic markets hypothesis states that the aggregate stock market price elasticity of demand is small, implying that flows have large impacts on prices. We exploit demand shocks created as investor funds are frozen and unfrozen during Chinese IPOs to estimate the impact of demand shocks on...