Economics at your fingertips  

Price Transparency in OTC Equity Lending Markets: Evidence from a Loan Fee Benchmark

Fabio Cereda (), Fernando Chague, Rodrigo De Losso (), Alan De Genaro () and Bruno Giovannetti
Authors registered in the RePEc Author Service: Rodrigo De-Losso

No 2020_22, Working Papers, Department of Economics from University of São Paulo (FEA-USP)

Abstract: We study the effects of a price transparency shock in the Brazilian OTC equity lending market. Previously, a publicly available stock-specific loan fee benchmark was the average fee of the past 15 trading days. On March 1, 2011, this interval was reduced to 3 days, significantly improving short-sellers' ability to predict current loan fees. We find that loan fees fell, lending volume increased, total lending revenue remained stable, high-cost lenders lost market share, and price efficiency increased after the benchmark change. Only a few countries benefit from loan fee benchmarks and our results may be relevant to regulators.

Keywords: price transparency; OTC markets; benchmarks; equity lending; search (search for similar items in EconPapers)
JEL-codes: G12 G14 G19 (search for similar items in EconPapers)
Date: 2020-10-15
New Economics Papers: this item is included in nep-fmk
References: Add references at CitEc

Downloads: (external link) ... Giovannetti_22WP.pdf (application/pdf)

Related works:
Journal Article: Price transparency in OTC equity lending markets: Evidence from a loan fee benchmark (2022) Downloads
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:

Ordering information: This working paper can be ordered from

Access Statistics for this paper

More papers in Working Papers, Department of Economics from University of São Paulo (FEA-USP) Contact information at EDIRC.
Bibliographic data for series maintained by Pedro Garcia Duarte ().

Page updated 2024-06-14
Handle: RePEc:spa:wpaper:2020wpecon22