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I would like to backtest a short-equity strategy. I'm looking for historical data on the availability of shares and cost to short certain stocks. Does anyone know of such data being available anywhere?

Alternatively, has anyone seen an academic paper describing a short equity strategy (or the short leg of a long/short equity strategy) where the authors bothered to check whether their stocks could be shorted? And deduct their short costs?

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  • $\begingroup$ Hi Alon - welcome to quant.stackexchange.com. This is similar to my question here: quant.stackexchange.com/questions/3891/… $\endgroup$ – Ram Ahluwalia Sep 7 '12 at 18:07
  • $\begingroup$ Thanks Ram. In this paper joim.com/abstract.asp?IsArticleArchived=1&ArtID=308 the authors mention their "proprietary" database of short rates, which strikes me as odd for an academic paper - no one can reproduce their results. Have you tried to reach out to them for the source? Or have you gotten the data elsewhere? Thx. $\endgroup$ – Alon Bochman Sep 7 '12 at 18:23
  • $\begingroup$ Have not reached out to them. FWIW, Most of PBs do have historical rates data available when I have spot checked various dates. $\endgroup$ – Ram Ahluwalia Sep 7 '12 at 19:25
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Reach out to your prime broker and ask them for a history of borrows and rebates. Another realistic source of borrow rates can be imputed from the options data (though, then you would be restricted to the optionable stock universe).

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