Private Information, Securities Lending, and Asset Prices

• 成果类型: Article
• 署名作者: Nezafat, Mandi; Schroder, Mark
• 署名单位: University of Michigan System; University of Michigan; Michigan State University
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhab043
• 发表日期: 2022
• 页码: 1009
• 关键词: Heterogeneous beliefs; SHORT-SELLERS; speculation; meetings; MARKETS; cost

摘要

We study the role of private information in the equity lending market in a rational expectations model with endogenous loan fees. When all investors are privately informed, an increase in information precision reduces the fee by increasing trade aggressiveness and decreasing demand dispersion. However, when some investors are uninformed, the information asymmetry tends to increase the fee, and, thus, the overall effect of an increase in precision is ambiguous. We show that the fee can be incrementally informative given the stock price and that fee opaqueness tends to increase the fee but has an ambiguous effect on the stock price.