Short-selling constraints and 'quantitative' investment strategies

Andrikopoulos, P., Clunie, J. and Siganos, A. (2013) Short-selling constraints and 'quantitative' investment strategies. European Journal of Finance, 19(1), pp. 19-35. (doi: 10.1080/1351847X.2011.634426)

Full text not currently available from Enlighten.


This study uses stock lending data from Data Explorers to assess the impact of short-selling constraints on the profitability of eight investment strategies. Returns from unconstrained long–short portfolios are compared with those from ‘feasible’ portfolios, constrained to short-selling only those shares that can be borrowed. We find that only a small percentage of the firms identified by Datastream for short-selling are available for lending, but our results suggest that differences in profitability between unconstrained and feasible strategies are statistically insignificant. We also find that the stock borrowing fee for the majority of the strategies is normally less than 1% per annum, showing that prior UK studies, which assumed that the short-selling fee is flat at 1.50% per annum, have overestimated such cost. Overall, these results indicate that stock loan unavailability and stock borrowing fees do not explain the persistence of returns from anomaly-exploiting quantitative investment strategies in the UK stock market.

Item Type:Articles
Glasgow Author(s) Enlighten ID:Siganos, Professor Antonios
Authors: Andrikopoulos, P., Clunie, J., and Siganos, A.
College/School:College of Social Sciences > Adam Smith Business School > Accounting and Finance
Journal Name:European Journal of Finance
ISSN (Online):1466-4364
Published Online:31 January 2012

University Staff: Request a correction | Enlighten Editors: Update this record