Price transparency in OTC equity lending markets: Evidence from a loan fee benchmark

• 成果类型: Article
• 署名作者: Cereda, Fabio; Chague, Fernando; De-Losso, Rodrigo; Genaro, Alan; Giovannetti, Bruno
• 署名单位: Universidade de Sao Paulo
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2021.05.033
• 发表日期: 2022
• 页码: 569-592
• 关键词: Price transparency; OTC markets; benchmarks; Equity lending; search costs

摘要

We study the effects of a price transparency shock in the Brazilian equity lending market, an over-the-counter market. Previously, the available loan fee benchmark was the mean loan fee of the past 15 trading days. On March 1, 2011, this interval was reduced to three days, significantly improving short-sellers' ability to predict current loan fees. We find that after the benchmark change, loan fees fell, lending volume increased, total lending rev-enue remained stable, high-cost lenders lost market share, and price efficiency increased. Our results suggest implementing price benchmarks in OTC markets can improve market quality. (c) 2021 Elsevier B.V. All rights reserved.