Securities lending and information transmission: a model of endogenous short-sale constraints

Andrey Pankratov
Additional contact information
Andrey Pankratov: University of Lugano, Swiss Finance Institute

No 20-69, Swiss Finance Institute Research Paper Series from Swiss Finance Institute

Abstract: I study short-sale constraints in a market with asymmetric information. I offer a novel approach endogenizing short-sale constraints by including an asset-borrowing market in my model. Short-sellers have to borrow an asset and therefore reveal information to a lender. The lender trades on her own account in addition to charging fees, which motivates the short-seller to hide the information and hinders short sales. I contribute to the literature by modeling the mechanism behind short-selling in the absence of explicit short-selling restrictions that are currently less relevant in practice. The model has new implications for profit distribution, market efficiency, and volatility.

Keywords: Security lenders; Short interest; Information leakages; Distribution of profits; Short-sale constraints; Market efficiency (search for similar items in EconPapers)
JEL-codes: G11 G12 G14 (search for similar items in EconPapers)
Pages: 64 pages
Date: 2020-08
New Economics Papers: this item is included in nep-gth and nep-ore
References: Add references at CitEc
Citations:

Downloads: (external link)
https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3680016 (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:chf:rpseri:rp2069

Access Statistics for this paper

More papers in Swiss Finance Institute Research Paper Series from Swiss Finance Institute Contact information at EDIRC.
Bibliographic data for series maintained by Ridima Mittal ().