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We argue that cash dividend is a type of arbitraging cost that short sellers tend to avoid. We find that dividend announcements lead to temporary short squeezes, causing the prices of highly shorted stocks to overshoot and fully revert over time. These stocks also experience excessive buy‐initiated trades and abnormal trading volume in response to dividend announcements. These results are driven mainly...
This paper investigates institutional herding behaviours in the U.S. Treasury market. We find that the level of herding is higher for bonds with a longer time to maturity and this pattern is significant only for buy herding, not sell herding. This term structure of herding is stronger for funds with a shorter investment horizon. These patterns remain strong for Treasury Inflation‐Protected Securities...