In response to krk's comment, I thought I'd post this instablog (which allows easier formatting and editing than does the comment page).
First off, I admit that the AMZN short probably doesn't work without a little market help. But if the market begins to reverse, I think AMZN may be one of the early casualties, not a later one. Here's are some of my reasons:
The fact that AMZN has a long operating history, in my view is a negative for the future stock price, as it serves to remove some of the "hope" factor that's critical to "story" stocks trading at exorbitant valuations. Something like Zillow or LinkedIn still have the fact that they're relatively new to inspire the hope of longs. AMZN on the other hand has 17 years of data showing how it operates and why it's not built for generating profits. Indeed that's what my articles rely on, as do many of those written by other prominent critics here at SA.
History (2) aka Competition
Competitors have the history of AMZN to learn from. Rakuten e.g. has set itself out to be an AMZN "killer". Typically it's an advantage to build a company to take on a known competitor, rather than defending against new, lesser known entities. I'm not suggesting that any of these competitors will do to AMZN what it did do Borders; but I think they can all gain traction, and given that AMZN has no margins with which to work, every challenge can be a serious blow to them.
Though it's certainly not the only argument in favor of AMZN, we see more and more of the "Gary" type argument which is that the stock price has gone up steadily in past, thus one should be a bull on the stock. But of course when one lives by momentum one also dies by it. In other words, rather than more buyers appearing if/when the stock begins to fall, there will actually be more sellers, as the main argument for the bull camp becomes a bearish one. (I wonder when someone will begin posting: "2013 -> $310, 2014 -> $200" ? ;-) )
Similarly the company has benefited tremendously from the stock price increase in that it lessens the amount of stock it has to issue to generate a given dollar amount of stock based compensation. But if the stock price begins to fall, that will reverse, potentially putting more pressure on the stock, not less.
Big Enough to be on Regulators' / Governments' Radar
This is an aspect of the "law" of large numbers. AMZN is no longer viewed as the interesting upstart taking on the entrenched giants, it's now the entrenched giant. And that means increased scrutiny and criticism from many government entities and a larger portion of the media. See for instance not only the strikes in Germany, but the media coverage that those strikes generate. Personally I think antitrust and other government attacks were a big factor in derailing MSFT as a creative force, and I see it as a potential liability for AMZN too. (Please note that I'm a big free market proponent and wish that the government stayed completely out of the economy, but as a trader I have to evaluate the factors as they exist, not as I wish they existed.)
On a related note, in the event of a pullback, no white knight or speculative buyer can emerge simply because the company's $135B market cap is too large for the pockets of any potential buyer. (One can't say the same of Z for instance, even though I think it too is over-valued.)
International Growth is Vital, but Threatened
Much of the AMZN story is predicated on increasing revenues by 20-30% annually. Given the large revenue base, this means not only continuing to execute perfectly in North America, but also growing substantially internationally. Yet I think the latter may be much more difficult than the market is currently estimating. For instance in China, which is one of the biggest international markets, by all accounts Alibaba is dominating, and its dominance is growing, not shrinking. Moreover, given that it's said to have strong margins, it's in a much better position to weather and even counter any AMZN challenge. Similarly, Rakuten (mentioned above) recently got into the streaming business in Spain and is looking to expand through Europe. Generally there's no reason to think AMZN is going to have an easy time growing internationally. (Indeed, Amazon's international growth in total dollars has actually been falling recently, a potential early warning sign?)
This Time's Different / Sentiment
This is completely anecdotal, but perhaps surprisingly it's the point I put the most weight on in terms of timing (not of valuation). I can't remember a time since the bubble in 2000 when I read so many posts and comments of the form "we're in a new market, AMZN has proven that companies don't need to make money in order to be valuable". I see two outcomes: either more and more companies begin to operate and pitch themselves as story stocks who grow but don't intend to generate profits, or the market turns away from AMZN, such that the argument is no longer true or germane. The latter seems much more likely to me.
Disclosure: I am short AMZN.