Skip to main content

Please enter a keyword and click the arrow to search the site

Deleveraging risk


Journal of Financial and Quantitative Analysis



Authors / Editors

Richardson S A;Saffi P;Sigurdsson K


Publication Year



Deleveraging risk is the risk attributable to investing in a security held by levered investors. When there is an aggregate negative shock to the availability of funding capital, securities with a greater presence of levered investors experience extreme return realizations as these investors unwind their positions. Using data from equity lending markets as a proxy for the degree of levered positions, we find large positive returns and reductions in short selling quantities around periods of funding capital availability for highly shorted stocks. For example, during the Quant crisis, the daily abnormal returns to a portfolio that sells highly-shorted stocks and buys the least-shorted ones is -147 basis points, in contrast with +11 basis points during “normal” days.


Deleveraging; equity lending; short selling; arbitrage capital

Available on ECCH


Select up to 4 programmes to compare

Select one more to compare
subscribe_image_desktop 5949B9BFE33243D782D1C7A17E3345D0

Sign up to receive our latest news and business thinking direct to your inbox


Sign up to receive our latest course information and business thinking

Leave your details above if you would like to receive emails containing the latest thought leadership, invitations to events and news about courses that could enhance your career. If you would prefer not to receive our emails, you can still access the case study by clicking the button below. You can opt-out of receiving our emails at any time by visiting: or by unsubscribing through the link provided in our emails. View our Privacy Policy for more information on your rights.