Short selling ETFs

• Main Authors: LI, Frank Weikai, ZHU, Qifei
• 格式: text
• 語言: English
• 出版: Institutional Knowledge at Singapore Management University 2022
• 主題: ETFs; Short Selling; Equity Lending; Limits to Arbitrage; Finance; Finance and Financial Management
• 在線閱讀: https://ink.library.smu.edu.sg/lkcsb_research/5315; https://ink.library.smu.edu.sg/context/lkcsb_research/article/6314/viewcontent/SSRN_id2836518.pdf
• 機構: Singapore Management University

We provide novel evidence that arbitrageurs use exchange-traded funds (ETFs) as an avenue to circumvent short-sale constraints at the stock level. Using a large sample of U.S. equity ETF holdings, we document that shorting activity on ETFs rises with the difficulty of shorting underlying stocks. Sto...