Cohen, Diether, and Malloy (Journal of Finance, 2007), find that shifts in the demand curve predict negative stock returns. We use their approach to examine changes in supply and demand at the time of FOMC announcements. We show that shifts in the demand for borrowing Treasuries and agencies...

Naked short selling and purposeful fails-to-deliver have been identified in the popular press and by the SEC as contributing factors to the stock market decline in 2008. We investigate the market impact of the announcement that fails-to-deliver have occurred for a sample of real estate...

We characterize legality and incidence of short selling in a worldwide, multimarket framework. Home country short selling restrictions curtail home market stock borrowing by 45% and reduce short selling of the country's American Depository Receipts (ADRs) by 68% due to regulatory reach. Also,...

Like many countries, the U.S. is concerned that short selling might destabilize markets. Currently, U.S. SEC Rule 201 restricts short selling for stocks that decline 10 percent from the previous day's closing price. Historically, the U.S. has implemented both an uptick rule and a downtick rule...

We investigate the impact of failures-to-deliver on the performance of 116 Real Estate Investment Trusts (REITs) during a period of substantial short selling (calendar years 2007 and 2008). REIT shares typically are easy to borrow, have high transparency (low information asymmetry), and are...