Ownership Structure, Limits to Arbitrage, and Stock Returns: Evidence from Equity Lending Markets

摘要: We examine how institutional ownership structure gives rise to limits arbitrage through its impact on short-sale constraints. Stocks with lower, more concentrated, short-term, and less passive exhibit lower lending supply, higher costs of shorting, risk. These constraints limit the ability arbitrageurs take short positions delay correction mispricing. concentrated smaller announcement day reactions, larger post-earnings drift, an additional negative abnormal return 0.47% in week following a positive shorting demand shock.Received June 16, 2014; accepted 8, 2016 by Editor Laura Starks.