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Short-Selling Profitability, Market Power, and Asset Pricing Anomalies

组织者

高瑞泽 , 韩立岩 , 李振 , 刘瑾 , 龙飞 , 史冬波 , 汤珂 , 万莉 , 张琦

演讲者

路磊

时间

2026年05月08日 15:00 至 16:00

地点

A3-2-303

线上

Zoom 435 529 7909 (BIMSA)

摘要

We propose a novel measure of short-selling profitability (SSP) that captures a stock’s price sensitivity to recent short-selling activity, reflecting short sellers’ information advantage before lending costs. Consistent with the finding that short interest predicts lower future returns, we find that this relation is significantly stronger for stocks with high SSP. Moreover, stock lenders with market power charge higher lending fees to extract a portion of these profits, strengthening the positive correlation between SSP and lending fees. Although short-selling costs reduce anomaly profitability by about half on average, anomalies remain significant among high-SSP stocks, particularly when lenders lack market power. These results highlight how short-selling costs and lending market structure jointly influence the persistence of return anomalies.

演讲者介绍

Lei Lu is a Full Professor of Finance and Bryce Douglas Chair in Finance at the University of Manitoba. He holds a Ph.D. in finance from McGill University and a master’s degree in management from Tianjin University. Dr. Lu’s research interests include asset pricing, investor behavior, and international finance. His research work has been published in Management Science, Journal of Financial and Quantitative Analysis, Journal of Corporate Finance, Journal of Financial Markets, Financial Management, Journal of Economic Dynamics and Control, and Economic Theory. He currently serves as an associate editor for Accounting and Finance, and Financial Review.