Securities lending, shorting, and pricing

• 成果类型: Article
• 署名作者: Duffie, D; Gârleanu, N; Pedersen, LH
• 署名单位: INSEAD Business School; Stanford University; New York University
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/S0304-405X(02)00226-X
• 发表日期: 2002
• 页码: 307-339
• 关键词: Shorting; lending fee; pricing; Differences of opinion

摘要

We present a model of asset valuation in which short-selling requires searching for security lenders and bargaining over the lending fee. If lendable securities are difficult to locate, then the price of the security is initially elevated, and expected to decline. This price decline is to be anticipated, for example, after an initial public offering, and is increasing in the degree of heterogeneity of beliefs about the future value of the security. The prospect of lending fees may push the initial price of a security above even the most optimistic buyer's valuation of the security's future dividends. A higher price can thus be obtained with some shorting than if shorting is disallowed. (C) 2002 Elsevier Science B.V. All rights reserved.