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Deleveraging Risk
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DOI：10.1017/S0022109017001077.png)
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摘要
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Deleveraging risk is the risk attributable to investing in a security held by levered investors. When there is an aggregate negative shock to the availability of funding capital, securities with a greater presence of levered investors experience extreme return realizations as these investors unwind their positions. Using data on equity loans as a proxy for the degree of levered positions in a given stock, we find robust evidence of deleveraging risk. Stocks with a high degree of short selling experience large positive returns and a decrease in short selling around periods of funding capital scarcity.
Keyword:
FIRE SALES
EQUILIBRIUM
ILLIQUIDITY
LIQUIDITY
RETURNS
PRICES
STOCKS
LIMITS
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