What's the catch behind investing in a portfolio of high cost-to-borrow stocks?

Often times we all get ideas that seem like "free money". I'm experienced/humble enough to know that these are 99% of the time not free, possibly negative EV plays. But by coming up with and debunking these ideas you can learn a lot. So what's the catch with this strategy:

1. In a tax advantaged account, buy a uniform distribution of the top 20 cost-to-borrow stocks [https://companiesmarketcap.com/companies-with-the-highest-cost-to-borrow/](https://companiesmarketcap.com/companies-with-the-highest-cost-to-borrow/)

2. Use a lending platform such as Fidelity fully paid lending. They will loan your stocks out to borrowers, and pay you back a portion of the interest generated (Fidelity pays out 60%). The tax advantaged nature of the account removes the headache of being taxed on unqualified dividends you get if the stock gets a dividend while on loan.

3. Reinvest interest in more shares.

I would think that because the market is efficient, step #1 alone would have at least neutral EV. And then steps 2+3 seem like they'd add insane returns. So what's the catch? If this actually worked, everyone everywhere would buy these stocks until the borrow rate wasn't worth the fees involved in this strategy.