The Information Value of Stock Lending Fees: Are Lenders Price Takers?
作者： Truong X. Duong , Zsuzsa R. Huszar , R.S.K. Tan , Weina Zhang
DOI: 10.2139/SSRN.2882493
关键词:
摘要: We find that higher stock lending fees predict significantly lower future returns after controlling for shorting demand U.S. stocks during the period 2007–2010. These results suggest active institutional investors on supply side play an important role in return predictability of and they not only respond to but also price additional information around earnings news announcements. Overall, we evidence lenders are informed and, together with short sellers, contribute discovery process.
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