skip to primary navigationskip to content
 

Dr Pedro Saffi

Pedro Saffi

Title of research: Deleveraging Risk

Deleveraging risk is the risk attributable to investing in a security held by levered investors. When there is an aggregate negative shock to the availability of funding capital, securities with a greater presence of levered investors experience extreme return realizations as these investors unwind their positions. Using data on equity loans as a proxy for the degree of levered positions in a given stock, we find robust evidence of deleveraging risk. Stocks with a high degree of levered investors experience large positive returns and a decrease in short selling activity around periods of funding capital scarcity.

RSS Feed Latest news

CERF Scholarship competition 2021 - Now Open

Nov 18, 2020

For the seventh year, Cambridge Endowment for Research in Finance is offering a scholarship scheme. Applications are invited for doctoral funding starting in October 2021. Funding is for up to 3 years and includes university and college fees and an allowance for accommodation and living expenses.

View all news