"I am a part of all that I have met;
Yet all experience is an arch wherethro’
Gleams that untravell’d world whose margin fades
For ever and forever when I move."  –Ulysses, by Alfred Tennyson



My SSRN page is available here

My Google Scholar page is available here

My disclosure page is available here



Research    

1) How Are Shorts Informed?  Short Sellers, News, and Information Processing

with Joseph Engelberg and Adam Reed

[Journal of Financial Economics 105(2), August 2012]


2) A Multiple Lender Approach to Understanding Supply and Search in the Equity Lending Market                           

with Adam Kolasinski and Adam Reed

[Journal of Finance 68(2), April 2013]  


3) Short Interest and Aggregate Stock Returns

with David Rapach and Guofu Zhou
[Journal of Financial Economics 121(1), July 2016]

Link to Appendix

Link to Data


4) Short Selling Risk

with Joseph Engelberg and Adam Reed
[
Journal of Finance 73(2), April 2018]



5) The Economic Impact of Index Investing

with Jonathan Brogaard and David Sovich
[Review of Financial Studies, forthcoming]


6) ETF Arbitrage and Return Predictability 

with David Brown and Shaun Davies

[Revise and Resubmit, Journal of Finance]


7) Price Pressure from Short Selling

[working paper]

 

8) Liquidity Uncertainty

with Peter Haslag
[revision-in-progress]

Presented at the 2015 SFS Cavalcade


9) The Information in Asset Fire Sales

with Sheng Huang and Zhe Zhang
[working paper]

Presented at the 2017 Western Finance Association Annual Conference


10) The Limits to (Short) Arbitrage 

   with Jesse Blocher

   [working paper]

   Presented at the 2017 European Finance Association Annual Conference



11) The Causal Impact of Market Fragmentation on Liquidity

   with Peter Haslag
   [working paper]
   Presented at the 2016 American Finance Association Annual Meeting


12) On Index Investing

   with Jeff Coles and Davidson Heath

   [working paper]

   To Be Presented at the 2018 Financial Intermediation Research Society Conference

   To Be Presented at the 2018 Western Finance Association Annual Conference


13) Converting Short Sale Constraints

   with Jesse Blocher

   [working paper]

   To Be Presented at the 2018 Western Finance Association Annual Conference


14) Are Cross-Sectional Predictors Good Market-Level Predictors?

   with Joseph Engelberg, David McLean, and Jeffrey Pontiff

   [Work in progress]

   To Be Presented at the 2019 American Finance Association Annual Conference


15) An Information Factor: Can Informed Traders Make Abnormal Profits?

   with Matthew Ma, Xiumin Martin, and Guofu Zhou

   [working paper]


16) Short Covering 

   with Jesse Blocher

   [working paper]


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