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The Information Value of Stock Lending Fees: Are Lenders Price Takers?

Truong X Duong, Zsuzsa R Huszár, Ruth S K Tan and Weina Zhang ()

Review of Finance, 2017, vol. 21, issue 6, 2353-2377

Abstract: We find that higher stock lending fees predict significantly lower future returns after controlling for shorting demand for US stocks during the period 2007–10. These results suggest that active institutional investors on the supply side play an important role in the return predictability of fees and they not only respond to demand but also price in additional information around earnings news announcements. Overall, we find evidence that stock lenders are informed and, together with short sellers, contribute to the price discovery process.

Keywords: Institutional ownership; Securities lending market; Short selling; Short-sale constraints (search for similar items in EconPapers)
JEL-codes: G10 G12 G14 (search for similar items in EconPapers)
Date: 2017
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