毓秀讲堂 |【Seminar 预告】No.683--Lei Lu (University of Manitoba)

时 间：2026年5月14日（Thur.）

10:00 - 11:30 a.m.

地 点：同德楼111

主 讲：Lei Lu (University of Manitoba)

We propose a novel measure of short-selling profitability (SSP) that captures a stock’s price sensitivity to recent short-selling activity, reflecting short sellers’ information advantage before lending costs. Consistent with the finding that short interest predicts lower future returns, we find that this relation is significantly stronger for stocks with high SSP. Moreover, stock lenders with market power charge higher lending fees to extract a portion of these profits, strengthening the positive correlation between SSP and lending fees. Although short-selling costs reduce anomaly profitability by about half on average, anomalies remain significant among high-SSP stocks, particularly when lenders lack market power. These results highlight how short-selling costs and lending market structure jointly influence the persistence of return anomalies.

Lei Lu, Professor of Finance and Bryce Douglas Chair Professor of Finance at the Asper School of Business, University of Manitoba, Canada. Professor Lei Lu's research interests include asset pricing (both theory and empirical research), investor behavior, international finance, and the Chinese financial market. His research results have been published in nearly 40 finance and economics journals, including Management Science, Journal of Financial and Quantitative Analysis, Journal of Corporate Finance, Journal of Financial Markets, Financial Management, Journal of Futures Markets, Journal of Economic Dynamics and Control, Economic Theory, Journal of Management Science , and Financial Research . Professor Lei Lu has presided over research projects funded by the Social Sciences and Humanities Research Council of Canada, a general project of the National Natural Science Foundation of China, a project of the Shanghai Pujiang Talent Program, and a research project of the China Financial Futures Exchange. Currently, he serves as an associate editor of Accounting and Finance, China Finance Review International, Financial Review, and Journal of Management Science and Engineering.