A small collection of Financial academic paper (that maybe relevant for GME dd?)
Sebastian Infante, Liquidity windfalls: The consequences of repo rehypothecation, Journal of Financial Economics, Volume 133, Issue 1, 2019, Pages 42-63, ISSN 0304-405X, https://doi.org/10.1016/j.jfineco.2019.02.004. (https://www.sciencedirect.com/science/article/pii/S0304405X19300261)
Abstract: This paper presents a model of repo intermediation in which dealers intermediate secured financing between lenders and borrowers using the same collateral. Lenders are insulated from dealers through their repo’s collateral, but borrowers are exposed to dealers through the loss of their collateral. This makes lenders’ repo terms insensitive to dealers’ default, while borrowers’ repo terms are not. The model shows that when repos serve to intermediate collateral, haircuts are negative. This paper explains the difference in haircuts between the bilateral and tri-party repo market and the different run dynamics observed across these markets during the financial crisis.
Keywords: Rehypothecation; Repo; Dealer; Liquidity; Default; Collateral
Abstract: In this paper, we propose a clearing model for prices in a financial markets due to margin calls on short sold assets. In doing so, we construct an explicit formulation for the prices that would result immediately following asset purchases and a margin call. The key result of this work is the determination of a threshold short interest ratio which, if exceeded, results in the discontinuity of the clearing prices due to a feedback loop. This model and threshold short interest ratio is then compared with data from early 2021 to consider the observed price movements of GameStop, AMC, and Naked Brand which have been targeted for a short squeeze by retail investors and, prominently, by the online community r/WallStreetBets.
Keywords:Clearing prices under margin calls and the short squeeze