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Failures to Deliver,Short Sale Constraints,and Stock Overvaluation
Authors:Don M Autore  Thomas J Boulton  Marcus V Braga‐Alves
Institution:1. Florida State University;2. Miami University;3. University of Akron
Abstract:Studying a large sample of publicly available data on failures to deliver, we find that stocks reaching threshold levels of failures become significantly overvalued. Where short sale constraints are especially binding, we report extreme overpricing and subsequent reversals. These findings support the overvaluation hypothesis, although the mispricing is likely to be difficult to arbitrage because of extreme shorting costs. In addition, threshold stocks with low short interest become more overvalued than threshold stocks with high short interest. This suggests that the level of short interest reflects supply‐side effects when the examination conditions on the difficulty of borrowing shares.
Keywords:failures to deliver  short interest  institutional ownership  short sale constraints  stock returns  D02  G14  G28
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