Title: Short Squeezes After Short-Selling Attacks
卖空攻击后的轧空行情
Lorien Stice-Lawrence
南加利福尼亚大学
黄裕庭
香港城市大学
Wuyang Zhao
麦吉尔大学
We estimate the prevalence and drivers of short squeezes after short-selling attacks. Positive returns after attacks have a disproportionate tendency to fully reverse and are accompanied by heightened short covering, consistent with the presence of short squeezes. We assess and find no support for non-squeeze drivers of these positive return reversals and show they are more likely to be accompanied by squeeze-related news articles, increased stock volatility, and disruptions in the stock lending market. Using positive return reversals as a proxy for short squeezes, we estimate that 15% of short attacks experience squeezes, and squeeze risk increases with short sellers’ visibility but decreases with the credibility of their evidence. Additionally, squeezes appear to be precipitated by actions of firms and investors, including insider purchases, share recalls, retail investor trading, and firm disclosures. Our findings quantify a material risk and check on activist short selling and are especially timely given recent proposed short-selling restrictions.
本文评估了卖空攻击后轧空行情的发生率及其驱动因素。遭受卖空攻击后的正向收益呈现出一种极为显著的趋势，即极易完全反转，且伴随着大量的空头回补，这与轧空行情的存在相契合。本文对这些正向收益反转的非轧空驱动因素进行了评估，发现并无证据支持这些因素，同时表明，正向收益反转更有可能伴随着与轧空相关的新闻报道、股票波动性加剧以及股票借贷市场的紊乱。本文以正向收益反转作为轧空行情的替代指标，据此估算出在 15% 的卖空攻击中会出现轧空行情，并且轧空风险会随着卖空者的曝光度增加而上升，但会随着卖空者所提供证据的可信度提高而降低。此外，轧空行情似乎会由公司和投资者的行为引发，这些行为包括内部人士买入股票、股票召回、散户投资者交易以及公司披露信息等。本文的研究结果量化了一个重大风险，并对激进型卖空行为进行了审视。鉴于近期拟议的卖空限制措施，本文的研究尤为及时。
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