.png){kind=icon}
.png){kind=icon}
Return
Deleveraging Risk
.png){kind=icon}
OA
AI
DOI：10.1017/S0022109017001077.png)
.png){kind=icon}
.png){kind=icon}
Share.png){kind=icon}
Save
Abstract
En 中文
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.
Keywords:
FIRE SALES
EQUILIBRIUM
ILLIQUIDITY
LIQUIDITY
RETURNS
PRICES
STOCKS
LIMITS
AI Summary
Key information extracted from the uploaded paper, including a brief overview, abstract, background, key highlights, visual analysis, and future outlook.
Journal
IF:
2.8
Papers:
2.3K
Citations:
1.0W
View more organizations