Is there any research on the equity return performance of hard-to-borrow securities?
Many shops will simply screen for hard-to-borrow and eliminate these names from their short book.
Anecdotally, it seems that these names have a tendency to rally on account of short-covering effects and future demand. I know there is research on 'short interest %' as a quant equity factor, but is there any research on the performance of hard-to-borrow securities?