Future lending income and security value

Research output: Contribution to journalArticlepeer-review

6 Citations (Scopus)

Abstract

I test the Duffie, Gârleanu, and Pedersen hypothesis that security prices incorporate expected future securities lending income. To determine whether institutional investors anticipate gains from future lending of securities, I examine their trading behavior around loan-fee increases. The evidence suggests that institutions buy shares in response to an increase in lending fees, and that this could explain the premium associated with high-lending-fee stocks. Expected future lending income affects stock prices, although the effect seems to be attenuated by the negative information that arises from short selling.

Original languageEnglish
Pages (from-to)869-902
Number of pages34
JournalJournal of Financial and Quantitative Analysis
Volume50
Issue number4
DOIs
Publication statusPublished - 28 Sep 2015

Keywords

  • SPECULATIVE INVESTOR BEHAVIOR
  • SHORT-SALE CONSTRAINTS
  • STOCK RETURNS
  • INSTITUTIONAL INVESTORS
  • SHORT-SELLERS
  • PANEL-DATA
  • MARKET
  • RESTRICTIONS
  • TESTS
  • ANNOUNCEMENTS

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