Institutional investor mandates, securities lending, and short-selling constraints

• 成果类型: Article
• 署名作者: Sikorskaya, Taisiya
• 署名单位: University of Chicago
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2026.104349
• 发表日期: 2026-10
• 页码: 104349
• 关键词: benchmark; Lending supply; Borrowing fee; SHORT SALES; Index effect; Russell; demand curves; SHORT-SALES; cross-section; MARKET; price; stocks; OWNERSHIP; arbitrage; RISK; opinion

摘要

Institutions facilitate short-selling by lending from their holdings, but what they hold is endogenous. This paper examines how institutional demand, driven by investment mandates (benchmarking), affects short-selling. In a model where benchmarked managers lend from their holdings, both lending supply and equilibrium price are higher for the benchmark asset, and so is shorting demand (due to inflated price). A quasi-experiment using Russell index reconstitution shows that stocks with more benchmarked capital have greater lending supply and demand. Ultimately, such stocks are costlier to short. In theory and data, results are driven by incomplete pass-through from benchmarked capital to lending supply.