How prevalent are short squeezes? Evidence from the US and Europe

IF 3.6 2区经济学 Q1 BUSINESS, FINANCE

Journal of Banking & Finance Pub Date : 2025-04-11 DOI:10.1016/j.jbankfin.2025.107436

Franklin Allen , Marlene Haas , Matteo Pirovano , Angel Tengulov

引用次数: 0

Abstract

We develop a novel measure to identify short squeezes triggered by sharp price increases. These “market squeezes” drive short sellers to close their positions early. To provide a comprehensive analysis of short squeeze dynamics, we also examine lender squeezes, identified through share recalls. We find that stock-day short-squeeze events are rare and short-lived. However, the quarterly proportion of unique stocks experiencing market squeezes is 9.9% (12.3%) in the US (EU), compared to 8.7% (5.4%), for lender squeezes. Our analysis shows that market and lender squeezes are driven by different determinants. We find that market squeezes impair price discovery, consistent with significant declines in short interest after these events. This contrasts with lender squeezes, after which short interest remains stable or increases, and price discovery remains unaffected.

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短期挤压有多普遍？来自美国和欧洲的证据

我们开发了一种新方法来识别由价格急剧上涨引发的短期挤压。这些“市场挤压”促使卖空者提前平仓。为了提供对短期挤压动态的全面分析，我们还研究了通过股票召回确定的贷款人挤压。我们发现，股票日短挤事件是罕见的和短暂的。然而，在美国（欧盟），经历市场挤压的独特股票的季度比例为9.9%(12.3%)，而在贷方挤压中，这一比例为8.7%（5.4%）。我们的分析表明，市场和贷款人的挤压是由不同的决定因素驱动的。我们发现，市场挤压损害了价格发现，这与这些事件后空头兴趣的显著下降是一致的。这与贷方挤压形成对比，在此之后，空头利率保持稳定或上升，价格发现不受影响。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Journal of Banking & Finance Multiple-

CiteScore

6.40

自引率

5.40%

发文量

262

期刊介绍： The Journal of Banking and Finance (JBF) publishes theoretical and empirical research papers spanning all the major research fields in finance and banking. The aim of the Journal of Banking and Finance is to provide an outlet for the increasing flow of scholarly research concerning financial institutions and the money and capital markets within which they function. The Journal''s emphasis is on theoretical developments and their implementation, empirical, applied, and policy-oriented research in banking and other domestic and international financial institutions and markets. The Journal''s purpose is to improve communications between, and within, the academic and other research communities and policymakers and operational decision makers at financial institutions - private and public, national and international, and their regulators. The Journal is one of the largest Finance journals, with approximately 1500 new submissions per year, mainly in the following areas: Asset Management; Asset Pricing; Banking (Efficiency, Regulation, Risk Management, Solvency); Behavioural Finance; Capital Structure; Corporate Finance; Corporate Governance; Derivative Pricing and Hedging; Distribution Forecasting with Financial Applications; Entrepreneurial Finance; Empirical Finance; Financial Economics; Financial Markets (Alternative, Bonds, Currency, Commodity, Derivatives, Equity, Energy, Real Estate); FinTech; Fund Management; General Equilibrium Models; High-Frequency Trading; Intermediation; International Finance; Hedge Funds; Investments; Liquidity; Market Efficiency; Market Microstructure; Mergers and Acquisitions; Networks; Performance Analysis; Political Risk; Portfolio Optimization; Regulation of Financial Markets and Institutions; Risk Management and Analysis; Systemic Risk; Term Structure Models; Venture Capital.