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Foreword ix
Clifford S. Asness
Preface xiv
About the Editor xv
Contributing Authors xvi
CHAPTER 1
Introduction 1
Frank J. Fabozzi, Steven L. Jones, and Glen Larsen
SECTION ONE
The Mechanics of Short Selling 7
CHAPTER 2
Mechanics of the Equity Lending Market 9
Jeff Cohen, David Haushalter, and Adam V. Reed
The Lending Process 10
Lenders 11
Borrowers 13
The Determinants of Rebate Rates 15
Conclusion 16
CHAPTER 3
Shorting Using Futures and Options 17
Frank J. Fabozzi
Futures Contracts 17
Equity Options 30
Summary
CHAPTER 4
Is Selling ETFs Short a Financial “Extreme Sport”? 37
Gary L. Gastineau
What Are the Most Important Safety Features
Protecting ETF Short Sellers? 38
How Do ETFs Work in Risk Management Applications? 39
Who Owns ETF Shares? 43
Will It Always Be Possible to Borrow ETF Shares at
Low-Cost for Risk Management Applications? 47
What Is the Effect of Short Selling and Risk Management
Activity on ETF Trading Volume and Trading Costs? 49
Are Risk Management Applications and Heavy ETF Share Trading
Desirable for Fund Shareholders and Fund Advisors? 51
What Is the Significance of the Short Interest for
Growth in ETF Assets? 52
Conclusion 56
SECTION TWO
Theory and Evidence on Short Selling 59
CHAPTER 5
Restrictions on Short Selling and Exploitable Opportunities for Investors 61
Edward M. Miller
Demand and Supply Curves Arguments 62
The Pattern of Stock Prices Over Time with
Uninformed Investors 75
The Bounded Efficient Markets Hypothesis 91
Conclusions 114
CHAPTER 6
Implications of Short Selling and Divergence of Opinion for Investment Strategy 117
Edward M. Miller
Interaction of Divergence of Opinion and Short Selling Restrictions 119
Empirical Tests 134
Conclusions 176
CHAPTER 7
Short Sale Constraints and Overpricing 179
Owen A. Lamont
Short Sale Constraints 180
The Overpricing Hypothesis 184
Costs of Shorting 188
Go Down Fighting 191
3Com/Palm 193
Tech Stock Mania and Short Sale Constraints 200
Summary
CHAPTER 8
How Short Selling Expands the Investment Opportunity Set and
Improves Upon Potential Portfolio Efficiency 205
Steven L. Jones and Glen Larsen
Short Selling in Efficient Portfolios: The Theory and
Its Practical Implications 207
The Empirical Evidence on Short Positions in Ex Post
Efficient Portfolios 229
Concluding Remarks and Practical Implications for Investors 231
CHAPTER 9
The Information Content of Short Sales 233
Steven L. Jones and Glen Larsen
Short Sales: Reporting, Frequency, and Constraints 235
Academic Theory versus the Technical Analyst’s View 236
The Empirical Evidence 239
Conclusions and Implications for Investors 253
SECTION THREE
Short Selling Strategies 257
CHAPTER 10
Spotting Clues in Qs 259
Ron Gutfleish and Lee Atzil
Looking for the Easier Fight 260
Putting on the Green Eyeshades 261
So What? It’s Only Accounting 265
How Do You Find these Cases? 266
Diagnosis 270
Keeping Your Shorts On 270
Tales from the Front Lines: Three Examples 271
Summary 278
CHAPTER 11
The Economic Profit Approach to Short Selling 279
James A. Abate and James L. Grant
Short Selling in the Theory of Finance 280
Tenets of Good and Bad Companies 280
Positive NPV: Discovery of Good Companies 281
Negative NPV: Discovery of Bad Companies 284
Zero NPV: Wealth Neutral Companies 287
Case Studies 287
Role of the Value/Capital Ratio 291
Invested Capital Growth 292
Managerial and Investor Implications 294
Matrix of Good and Bad Companies 295
Reconciling Market Implied Growth 298
Summary 301
CHAPTER 12
Long-Short Equity Portfolios 303
Bruce I. Jacobs and Kenneth N. Levy
Constructing a Market Neutral Portfolio 304
The Importance of Integrated Optimization 308
Adding Back a Market Return 312
Some Concerns Addressed 316
Evaluating Long-Short 318
SECTION FOUR
Short Selling and Market Efficiency 321
CHAPTER 13
Short Sales in Global Perspective 323
Arturo Bris, William N. Goetzmann, and Ning Zhu
Short Sales Restrictions Around the World 325
Foreign Listing and Short Selling 331
Short Selling Constraints and International Capital Flows 339
Conclusion 342
CHAPTER 14
Short Selling and Financial Puzzles 345
Edward M. Miller
Divergence of Opinion and Risk 346
Returns to Beta 355
Implications for Value Additivity 374
Conclusions 393
INDEX 395
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