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Consistent with funding and institutional constraints limiting short selling, we further show that the effect is highly asymmetric across different loss levels and stronger among stocks facing higher margin requirements. However, loss-making short selling has no impact on price efficiency or predictive power for returns, suggesting that these constraints affect mostly uninformed shorting activity. <\/jats:p><jats:p> This paper was accepted by Agostino Capponi, finance. <\/jats:p><jats:p> Funding: This work was supported by the University of Melbourne [Faculty Research Grant]. <\/jats:p><jats:p> Supplemental Material: The online appendix and data files are available at https:\/\/doi.org\/10.1287\/mnsc.2023.01356 . <\/jats:p>","DOI":"10.1287\/mnsc.2023.01356","type":"journal-article","created":{"date-parts":[[2025,1,29]],"date-time":"2025-01-29T08:43:48Z","timestamp":1738140228000},"page":"8347-8370","source":"Crossref","is-referenced-by-count":0,"title":["Short of Capital: Stock Market Implications of Short Sellers\u2019 Losses"],"prefix":"10.1287","volume":"71","author":[{"ORCID":"https:\/\/orcid.org\/0000-0002-0686-0576","authenticated-orcid":false,"given":"Antonio","family":"Gargano","sequence":"first","affiliation":[{"name":"University of Houston, Houston, Texas 77004"}]},{"ORCID":"https:\/\/orcid.org\/0000-0003-2447-7498","authenticated-orcid":false,"given":"Juan","family":"Sotes-Paladino","sequence":"additional","affiliation":[{"name":"Universidad de los Andes, Chile, Santiago 7620086, Chile"}]},{"ORCID":"https:\/\/orcid.org\/0000-0002-1437-0665","authenticated-orcid":false,"given":"Patrick","family":"Verwijmeren","sequence":"additional","affiliation":[{"name":"Erasmus School of Economics, 3062 PA Rotterdam, Netherlands; and University of Melbourne, Parkville, Victoria 3010, Australia"}]}],"member":"109","reference":[{"key":"B1","doi-asserted-by":"publisher","DOI":"10.1111\/jofi.12284"},{"key":"B2","doi-asserted-by":"publisher","DOI":"10.1111\/0022-1082.00088"},{"key":"B3","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2011.02.020"},{"key":"B4","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2005.01.001"},{"key":"B5","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.2006.00885.x"},{"key":"B6","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.2012.01802.x"},{"key":"B7","doi-asserted-by":"publisher","DOI":"10.1016\/j.jacceco.2015.08.001"},{"key":"B8","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhs097"},{"key":"B9","doi-asserted-by":"publisher","DOI":"10.1017\/S0022109017001193"},{"key":"B10","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.2008.01324.x"},{"key":"B11","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hht017"},{"key":"B12","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhab079"},{"key":"B13","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2017.12.002"},{"key":"B14","doi-asserted-by":"publisher","DOI":"10.2307\/2330829"},{"key":"B15","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.2007.01230.x"},{"key":"B16","doi-asserted-by":"publisher","DOI":"10.1016\/S0927-538X(01)00004-X"},{"key":"B18","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhn098"},{"key":"B19","doi-asserted-by":"publisher","DOI":"10.1287\/opre.2018.1742"},{"key":"B20","doi-asserted-by":"publisher","DOI":"10.1016\/j.jmoneco.2021.12.003"},{"key":"B21","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2016.12.011"},{"key":"B22","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2021.08.006"},{"key":"B23","doi-asserted-by":"publisher","DOI":"10.1086\/516389"},{"key":"B24","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2016.05.002"},{"key":"B25","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2015.12.009"},{"key":"B26","doi-asserted-by":"publisher","DOI":"10.1287\/mnsc.2013.1872"},{"key":"B27","doi-asserted-by":"publisher","DOI":"10.1016\/S0304-405X(02)00206-4"},{"key":"B28","doi-asserted-by":"publisher","DOI":"10.1086\/261703"},{"key":"B29","doi-asserted-by":"publisher","DOI":"10.1016\/S0304-405X(01)00056-3"},{"key":"B32","doi-asserted-by":"publisher","DOI":"10.1111\/0022-1082.00495"},{"key":"B33","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(87)90042-0"},{"key":"B34","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhn047"},{"key":"B35","doi-asserted-by":"publisher","DOI":"10.1016\/S0304-405X(02)00226-X"},{"key":"B36","doi-asserted-by":"publisher","DOI":"10.1111\/jofi.12601"},{"key":"B137","doi-asserted-by":"crossref","unstructured":"Fama E, MacBeth JD (1973) Risk, return, and equilibrium: Empirical tests. 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