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The Effects of Stock Lending on Security Prices: An Experiment / Steven N. Kaplan, Tobias J. Moskowitz, Berk A. Sensoy.
- Format:
- Book
- Author/Creator:
- Kaplan, Steven N.
- Series:
- Working Paper Series (National Bureau of Economic Research) no. w16335.
- NBER working paper series no. w16335
- Language:
- English
- Physical Description:
- 1 online resource: illustrations (black and white);
- Other Title:
- The Effects of Stock Lending on Security Prices
- Place of Publication:
- Cambridge, Mass. National Bureau of Economic Research 2010.
- Summary:
- Working with a sizeable, anonymous money manager, we randomly make available for lending two-thirds of the high-loan fee stocks in the manager's portfolio and withhold the other third to produce an exogenous shock to loan supply. We implement the lending experiment 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. The supply shocks are sizeable and significantly reduce lending fees, but returns, volatility, skewness, and bid-ask spreads remain unaffected. Results are consistent across both phases of the experiment and indicate no adverse effects from securities lending on stock prices.
- Notes:
- Print version record
- September 2010.
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