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The market for borrowing corporate bonds

Paul Asquith, Andrea S. Au, Thomas Covert and Parag Pathak

Journal of Financial Economics, 2013, vol. 107, issue 1, 155-182

Abstract: This paper describes the market for borrowing corporate bonds using a comprehensive data set from a major lender. The cost of borrowing corporate bonds is comparable to the cost of borrowing stock, between 10 and 20 basis points, and both have fallen over time. Factors that influence borrowing costs are loan size, percentage of inventory lent, rating, and borrower identity. There is no evidence that bond short sellers have private information. Bonds with Credit Default Swaps (CDS) contracts are more actively lent than those without. Finally, the 2007 Credit Crunch does not affect average borrowing costs or loan volume, but does increase borrowing cost variance.

Keywords: Short sales; Securities lending; Corporate bonds; CDS (search for similar items in EconPapers)
JEL-codes: G12 G14 (search for similar items in EconPapers)
Date: 2013
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Working Paper: The Market for Borrowing Corporate Bonds (2010) Downloads
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DOI: 10.1016/j.jfineco.2012.08.007

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