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Short Squeezes

Abstract Views
5821
Author
Zhiqian Jiang Baixiao Liu Andrew Schrowang Wei Xu
Category
Financial
Date Posted
2012/03/15
Date Retrieved
2022/08/03
Date Revised
2022/08/03
Date Written
2021/10/06
Description
Building upon the premises that short squeezes are most likely to occur following a large one-day price increase for stocks with short sale constraints and that they can be captured by the level of subsequent price reversal we investigate how prevalent short squeezes are and the corresponding economic consequences on the stocks being squeezed. Using daily short sale data we find that the occurrence of short squeezes is driven by both the capital constraint of the short sellers and the short sale constraint of the underlying stocks. Further analyses reveal that following a large price increase squeezed stocks experience an increase in the demand for and the cost of borrowing the shares as well as an increase in trading volume idiosyncratic volatility and abnormal returns.
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JEL Classifications
G12 G14
Keywords
Short Selling; Short Squeeze; Short Sale Constraint; Price Reversals
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0
Pages
34
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URL
https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4180587
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