• Publications
  • Influence
How are Shorts Informed? Short Sellers, News, and Information Processing
We find that a substantial portion of short sellers’ trading advantage comes from their ability to analyze publicly available information. Using a database of short sales combined with a database ofExpand
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Short Interest and Aggregate Stock Returns
We show that short interest is arguably the strongest known predictor of aggregate stock returns. It outperforms a host of popular return predictors both in and out of sample, with annual R2Expand
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How are shorts informed
We find that a substantial portion of short sellers' trading advantage comes from their ability to analyze publicly available information. Using a database of short sales combined with a database ofExpand
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A Multiple Lender Approach to Understanding Supply and Search in the Equity Lending Market
Using unique data from 12 lenders, we examine how equity lending fees respond to demand shocks. We find that when demand is moderate, fees are largely insensitive to demand shocks. However, at highExpand
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Short-Selling Risk
Short sellers face unique risks, such as the risk that stock loans become expensive and the risk that stock loans are recalled. We show that these short selling risks affect prices among theExpand
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On Index Investing
We empirically examine the effects of index investing using predictions derived from a Grossman-Stiglitz framework. An increase in index investing leads to lower information production as measured byExpand
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Are Cross-Sectional Predictors Good Market-Level Predictors?
Firm-level variables that predict cross-sectional stock returns, such as price-to-earnings and short interest, are often averaged and used to predict market returns. We extend this literature andExpand
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The Economic Impact of Index Investing
We study the impact of index investing on firm performance by examining the link between commodity indices and firms that use index commodities. Around 2004, commodity index investing dramaticallyExpand
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06 THE REAL IMPACT OF PASSIVE INVESTING IN
We study the real economic impact of passive investing in financial markets. In 2004, there was a dramatic increase in commodity index investing, an event referred to as the financialization ofExpand
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ETF Arbitrage, Non-Fundamental Demand, and Return Predictability
Many finance models assume the existence of noise traders who push asset prices away from fundamental values. Yet empirically, these "animal spirits" are challenging to observe because fundamentalExpand
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