Review of Finance Vol. 21 No. 6 2017

The Information Value of Stock Lending Fees: Are Lenders Price Takers?

Truong X. Duong¹; Zsuzsa R. Huszár^2,3; Ruth S K Tan²; Weina Zhang^2,3

¹ 1Iowa State University Ames · ² 2NUS Business School, National University of Singapore, · ³ 3Risk Management Institute (RMI) and the Institute of Real Estate Studies (IRES)

Abstract

We find that higher stock lending fees predict significantly lower future returns after controlling for shorting demand for US stocks during the period 2007–10. These results suggest that active institutional investors on the supply side play an important role in the return predictability of fees and they not only respond to demand but also price in additional information around earnings news announcements. Overall, we find evidence that stock lenders are informed and, together with short sellers, contribute to the price discovery process.

DOI

10.1093/rof/rfw075

Volume

21

Issue

6

Pages

2353-2377

Language

en

Sources

bibtex:phds-export.bib openalex crossref

Cite

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