作者：Nezafat, Mandi; Schroder, Mark
作者单位：University of Michigan System; University of Michigan; Michigan State University
摘要：We study the role of private information in the equity lending market in a rational expectations model with endogenous loan fees. When all investors are privately informed, an increase in information precision reduces the fee by increasing trade aggressiveness and decreasing demand dispersion. However, when some investors are uninformed, the information asymmetry tends to increase the fee, and, thus, the overall effect of an increase in precision is ambiguous. We show that the fee can be incre...
作者：Christoffersen, Peter; Jacobs, Kris; Pan, Xuhui (Nick)
作者单位：University of Toronto; University of Houston System; University of Houston; University of Oklahoma System; University of Oklahoma - Norman
摘要：Both large oil price increases and decreases are associated with deteriorating economic conditions. The projection of the state price density (SPD) onto oil returns estimated from oil futures and option prices displays a U-shaped pattern. Because investors assign high state prices to large negative and large positive oil returns, the U-shaped SPD may steepen in either tail when economic conditions deteriorate. The positive return region of the SPD is more closely related to economic conditions...
