Learning by lending securities

• 成果类型: Article
• 署名作者: Nurisso, George C.
• 署名单位: State University System of Florida; University of Florida
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2026.104237
• 发表日期: 2026-04
• 页码: 104237
• 关键词: Securities lending; Short-sale constraints; Price efficiency; information acquisition; Index investing; INFORMATION

摘要

Short sellers convey negative information to securities lenders when borrowing shares. I model how this information generates novel interactions between institutional investors' lending and trading decisions. Lower lending fees improve information quality by facilitating more shorting, but also make it less costly for lenders to strategically recall shares to enhance their trading profits. Lenders may then need to raise fees to commit not to recall shares and thereby attract short sellers. Conversely, index fund lenders cannot trade on lending market information. This restriction enables them to attract greater shorting demand and potentially improve price efficiency-despite charging higher fees.