We provide novel evidence that arbitrageurs use exchange-traded funds (ETFs) as an avenue to circumvent short-sale constraints at the stock level. Using a large sample of U.S. equity ETF holdings, we document that shorting activity on ETFs rises with the difficulty of shorting underlying stocks. Stocks heavily shorted via their holding ETFs underperform those that are lightly shorted. The return predictability of ETF shorting is distinct from stock-level shorting measures and is concentrated among stocks that face severe arbitrage constraints. These findings suggest that ETFs allow arbitrageurs to target overpriced stocks that are otherwise difficult to short. (JEL G12, G14) Received April 20, 2021; editorial decision December 7, 2021 by Editor Jeffrey Pontiff. Authors have furnished an Internet Appendix, which is available on the Oxford University Press Web site next to the link to the final published paper online.

中文翻译：

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卖空ETF

我们提供了新的证据表明套利者使用交易所交易基金 (ETF) 作为在股票层面规避卖空限制的途径。使用美国股票 ETF 持有量的大量样本，我们记录了 ETF 的做空活动随着做空标的股票的难度而增加。通过持有的 ETF 大量做空的股票表现逊于那些被轻微做空的股票。ETF 做空的回报可预测性不同于股票层面的做空措施，并且集中在面临严重套利约束的股票中。这些发现表明，ETF 允许套利者瞄准定价过高的股票，否则这些股票很难做空。(JEL G12, G14) 2021 年 4 月 20 日收到；编辑决定于 2021 年 12 月 7 日由编辑 Jeffrey Pontiff。作者提供了互联网附录，