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Cambridge Endowment for Research in Finance (CERF)


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