Toward Understanding Short-Selling Activity: Demand and Supply

Accounting and Finance, Forthcoming

Posted: 19 Jan 2019

See all articles by Adrian (Wai-Kong) Cheung

Adrian (Wai-Kong) Cheung

City University of Macau

Hung Wan Kot

The Chinese University of Hong Kong

FY Eric Lam

Independent Researcher

Harry Leung

Hong Kong University of Science & Technology (HKUST) - Department of Finance

Multiple version iconThere are 2 versions of this paper

Date Written: 2019

Abstract

We investigate the demand and supply sides of short-selling activity in the US from 2003 to 2015. We construct four types of demand-side variables from fundamentals, and three types of supply-side variables from institutional ownership (IO) and stock loan data. The supply-side variables play a more important role in determining short selling than the demand-side variables. The IO of quasi-indexer type is the most important supply-side variable, while the arbitrage and hedging with options market is the most important demand-side variable. Finally, a portfolio sorting approach confirms the same results.

Keywords: Short selling; Demand and supply; Institutional ownership; Borrowing cost

JEL Classification: G01, G11, G14

Suggested Citation

Cheung, Adrian and Kot, Hung Wan and Lam, Full Yet Eric Campbell and Leung, Harry, Toward Understanding Short-Selling Activity: Demand and Supply (2019). Accounting and Finance, Forthcoming, Available at SSRN: https://ssrn.com/abstract=3312842

Adrian Cheung (Contact Author)

City University of Macau ( email )

Avenida Padre Tomas Pereira
Taipa
Macau
China
+85385902984 (Phone)

Hung Wan Kot

The Chinese University of Hong Kong ( email )

Hong Kong

HOME PAGE: http://sites.google.com/site/hungwankot/

Full Yet Eric Campbell Lam

Independent Researcher ( email )

Harry Leung

Hong Kong University of Science & Technology (HKUST) - Department of Finance ( email )

Clear Water Bay, Kowloon
Hong Kong

Do you have negative results from your research you’d like to share?

Paper statistics

Abstract Views
418
PlumX Metrics