equities - What is the relative performance of hard-to-borrow securities?

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?

Answer

I think this paper (which I skimmed once a long time ago and no longer have access to) may provide some insight:

Cohen, Lauren, Karl B. Diether, and Christopher J. Malloy. "Shorting Demand and Predictability of Returns." Journal of Investment Management 7, no. 1 (2009): 36-52.

It seems to consider stock loan fees which may be a proxy for "hard to borrow".