The Shorting Premium and Asset Pricing Anomalies
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Short-rebate fees are a strong predictor of the cross-section of stock returns, both gross and net of fees. We document a large "shorting premium": the cheap-minus-expensive-to-short (CME) portfolio of stocks has a monthly average gross return of 1.43%, a net return of 0.91%, and a 1.53% four-factor
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美国国家经济研究局创建时间：
2014-07-01
