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Finding Historical Stock Borrow Availability and Shorting Costs

Article Quant Q&A · Author: Alon Bochman
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Summary

The document addresses a practical obstacle in backtesting short-equity strategies: historical share availability and borrow costs can determine whether a proposed short trade was feasible and profitable. It suggests asking a prime broker for historical borrow and rebate records, which can provide direct information about the cost of borrowing shares over time.

It also describes estimating borrow rates from options data as an alternative. That approach can extend analysis when broker records are unavailable, but it limits the study to stocks with suitable options data. The document does not name a data vendor, present a specific estimation procedure, or cite a study that accounts for shorting constraints and costs. Researchers should treat the suggestions as possible data sources rather than a complete backtesting method, and verify how well any borrowed or implied rates reflect actual availability and realized costs.

Key ideas

  • Historical prime broker records may provide borrow availability and rebate rates for short-sale research.
  • Borrow rates can also be estimated from options data.
  • An options-based estimate limits coverage to stocks with relevant options data.
  • Backtests should account for whether shares could actually be borrowed and at what cost.

Tags

EquitiesBacktestingExecutionRisk management
Full text
# Historical data on short rates


# Historical data on short rates












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?

## Answer by Strange (score 1)

https://quant.stackexchange.com/a/4097

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).

Shown in full with attribution under the source's licence. Licence: CC BY-SA 4.0 (Stack Exchange)

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.