A Multiple Lender Approach to Understanding Supply and Search in the Equity Lending Market

• 成果类型: Article
• 署名作者: Kolasinski, Adam C.; Reed, Adam V.; Ringgenberg, Matthew C.
• 署名单位: University of Washington; University of Washington Seattle; University of North Carolina; University of North Carolina Chapel Hill; Washington University (WUSTL)
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/jofi.12007
• 发表日期: 2013
• 页码: 559-595
• 关键词: information; constraints; demand; SHORTS

摘要

Using unique data from 12 lenders, we examine how equity lending fees respond to demand shocks. We find that, when demand is moderate, fees are largely insensitive to demand shocks. However, at high demand levels, further increases in demand lead to significantly higher fees and the extent to which demand shocks impact fees is also related to search frictions in the loan market. Moreover, consistent with search models, we find significant dispersion in loan fees, with this dispersion increasing in loan scarcity and search frictions. Our findings imply that search frictions significantly impact short selling costs.