The Loan Fee Anomaly: A Short Seller’s Best Ideas

References

• Anton M, Cohen R, Polk C (2021) Best ideas. Working paper, University of Navarra, IESE Business School, Barcelona, Spain.Google Scholar
• Asquith P, Pathak PA, Ritter JR (2005) Short interest, institutional ownership, and stock returns. J. Financial Econom. 78:243–276.Crossref, Google Scholar
• Ball R, Brown P (1968) An empirical evaluation of accounting income numbers. J. Accounting Res. 6:159–178.Crossref, Google Scholar
• Blocher J, Ringgenberg MC (2018) Converting short sale constraints. Working paper, Vanderbilt University, Nashville, TN.Google Scholar
• Blocher J, Reed AV, Wesep EV (2012) Connecting two markets: An equilibrium framework for shorts, longs and stock loans. J. Finance 108:302–322.Google Scholar
• Boehmer E, Jones CM, Zhang X (2008) Which shorts are informed? J. Finance 63:491–527.Crossref, Google Scholar
• Calluzzo P, Moneta F, Topaloglu S (2019) When anomalies are publicized broadly, do institutions trade accordingly? Management Sci. 65:4555–4574.Link, Google Scholar
• Chen AY, Velikov M (2023) Zeroing in on the expected returns. J. Financial Quant. Anal. 58(3):968–1004.Google Scholar
• Chen AY, Zimmermann T (2022) Open source cross-sectional asset pricing. Crit. Finance Rev. 27(2):207–264.Crossref, Google Scholar
• Cohen L, Diether K, Malloy C (2007) Supply and demand shifts in the shorting market. J. Finance 62:2061–2096.Crossref, Google Scholar
• Cooper M, Gulen H, Schill MJ (2008) Asset growth and the cross-section of stock returns. J. Finance 63(4):1609–1651.Crossref, Google Scholar
• Daniel K, Titman S (1997) Evidence on the characteristics of cross-sectional variation in stock returns. J. Finance 52:1–33.Crossref, Google Scholar
• D’Avolio G (2002) The market for borrowing stock. J. Financial Econom. 66:271–306.Crossref, Google Scholar
• Dechow PM, Hutton AP, Meulbroek LK, Sloan RG (2001) Short sellers, fundamental analysis and stock returns. J. Financial Econom. 61:77–106.Crossref, Google Scholar
• Drechsler I, Drechsler QFS (2016) The shorting premium and asset pricing anomalies. Working paper, The Wharton School, University of Pennsylvania, Philadelphia.Google Scholar
• DuCharme LL, Malatesta PH, Sefci SE (2004) Earnings management, stock issues, and shareholder lawsuits. J. Financial Econom. 71:27–49.Crossref, Google Scholar
• Engelberg J, McLean RD, Pontiff J (2018a) Anomalies and news. J. Finance 73:1971–2001.Crossref, Google Scholar
• Engelberg J, Reed AV, Ringgenberg MC (2012) How are shorts informed? Short sellers, news, and information processing. J. Financial Econom. 105:260–278.Crossref, Google Scholar
• Engelberg J, Reed AV, Ringgenberg MC (2018b) Short selling risk. J. Finance 73:755–786.Crossref, Google Scholar
• Fama E, French K (1992) The cross-section of expected stock returns. J. Finance 47(2):427–465.Crossref, Google Scholar
• Fama E, French K (2008) Dissecting anomalies. J. Finance 63:1653–1678.Crossref, Google Scholar
• Fama E, MacBeth JD (1973) Risk, return, and equilibrium: Empirical tests. J. Polit. Econom. 81:607–636.Crossref, Google Scholar
• Fang VW, Huang AH, Karpoff JM (2016) Short selling and earnings management: A controlled experiment. J. Finance 71:1251–1294.Crossref, Google Scholar
• Freyberger J, Neuhierl A, Weber M (2020) Dissecting characteristics nonparametrically. Rev. Financial Stud. 33(5):2326–2377.Crossref, Google Scholar
• Geczy CC, Musto DK, Reed AV (2002) Stocks are special too: An analysis of the equity lending market. J. Financial Econom. 66:241–269.Crossref, Google Scholar
• Green J, Hand JR, Zhang XF (2017) The characteristics that provide independent information about average U.S. monthly stock returns. Rev. Financial Stud. 30(12):4389–4436.Crossref, Google Scholar
• Gu S, Kelly B, Xiu D (2020) Empirical asset pricing via machine learning. Rev. Financial Stud. 33(5):2223–2273.Crossref, Google Scholar
• Hanson SG, Sunderam A (2014) The growth and limits of arbitrage: Evidence from short interest. Rev. Financial Stud. 27:1238–1286.Crossref, Google Scholar
• Harvey CR, Liu Y, Zhu H (2016) …And the cross-section of expected returns. Rev. Financial Stud. 29(1), 5–68.Crossref, Google Scholar
• Henderson BJ, Jostova G, Philipov A (2023) Strategic behavior by equity lenders. Working paper, George Washington University, Washington, DC.Google Scholar
• Hong H, Li W, Ni SX, Scheinkman J, Yan P (2021) Days to cover and stock returns. Working paper, Columbia University, New York.Google Scholar
• Hou K, Xue C, Zhang L (2020) Replicating anomalies. Rev. Financial Stud. 33(5):2019–2133.Google Scholar
• Jegadeesh N, Titman S (1993) Returns to buying winners and selling losers: Implications for stock market efficiency. J. Finance 48:65–91.Crossref, Google Scholar
• Jiang H, Verbeek M, Wang Y (2014) Information content when mutual funds deviate from benchmarks. Management Sci. 60:2038–2053.Link, Google Scholar
• Jones CM, Lamont OA (2002) Short-sale constraints and stock returns. J. Financial Econom. 66:207–239.Crossref, Google Scholar
• Karpoff JM, Lou X (2010) Short sellers and financial misconduct. J. Finance 65(5):1879–1913.Crossref, Google Scholar
• Kozak S, Nagel S, Santosh S (2020) Shrinking the cross-section. J. Financial Econom. 135(2):271–292.Crossref, Google Scholar
• Lewellen J (2015) The cross-section of expected stock returns. Crit. Finance Rev. 4:1–44.Crossref, Google Scholar
• McLean RD, Pontiff J (2016) Does academic publication destroy stock return predictability? J. Finance 71:5–32.Crossref, Google Scholar
• Newey WK, West KD (1987) A simple, positive semi-definite, heteroskedasticity and autocorrelation consistent covariance matrix. Econometrica 55:703–708.Crossref, Google Scholar
• Novy-Marx R, Velikov M (2016) A taxonomy of anomalies and their trading costs. Rev. Financial Stud. 29:104–147.Crossref, Google Scholar
• Rosenberg B, Reid K, Lanstein R (1985) Persuasive evidence of market inefficiency. J. Portfolio Management 11:9–16.Crossref, Google Scholar
• Stambaugh RF, Yu J, Yuan Y (2012) The short of it: Investor sentiment and anomalies. J. Financial Econom. 104:288–302.Crossref, Google Scholar