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Dr Pedro Saffi

Pedro Saffi

Title of research: Deleveraging Risk

The project can be of value to practitioners for better understanding the risks associated with short-selling and the impact of the usage of leverage around times of funding illiquidity. In particular, when funding liquidity evaporates we find that securities with a greater presence of levered investors experience extreme return realizations as investors unwind their positions. Using unique data from equity lending markets as a proxy for the degree of leverage in a stock, we find large positive returns and reductions in short selling quantities following periods of funding illiquidity.

Research Update - March 2016

Research Update - September 2015

Research Update - April 2015

Research Update - Report 2014

Research and publications

SSRN links

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Best Student Paper Award 2021 - competition is now open

Feb 12, 2021

For the last 13 years, Cambridge Finance is offering its Best Student Paper Award. The award comprises a cash honorarium of £1,000 and a certificate is awarded to the author of the best student paper in finance presented during the 2020-2021 academic year.

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