The Effects of Stock Lending on Security Prices: An Experiment

• 成果类型: Article
• 署名作者: Kaplan, Steven N.; Moskowitz, Tobias J.; Sensoy, Berk A.
• 署名单位: University of Chicago; National Bureau of Economic Research; University System of Ohio; Ohio State University
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/jofi.12051
• 发表日期: 2013
• 页码: 1891-1936
• 关键词: SHORT-SALES CONSTRAINTS; cross-section; SHORT SELLERS; MARKET; restrictions; arbitrage; opinion; options; BEAR

摘要

We examine the impact of short selling by conducting a randomized stock lending experiment. Working with a large, anonymous money manager, we create an exogenous and sizeable shock to the supply of lendable shares by taking high loan fee stocks in the manager's portfolio and randomly making available and withholding stocks from the lending market. The experiment ran in two independent phases: the first, from September 5 to 18, 2008, with over $580 million of securities lent, and the second, from June 5 to September 30, 2009, with over $250 million of securities lent. While the supply shocks significantly reduce market lending fees and raise quantities, we find no evidence that returns, volatility, skewness, or bid-ask spreads are affected. The results provide novel evidence on the impact of shorting supply and do not indicate any adverse effects on stock prices from securities lending.