Price transparency in OTC equity lending markets: evidence from a loan fee benchmark
作者： Rodrigo De-Losso , Alan Genaro , Fernando Chague , Bruno Giovannetti , Fábio Cereda
DOI: 10.1016/J.JFINECO.2021.05.033
关键词:
摘要: We study the effects of a price transparency shock in Brazilian equity lending market, an over-the-counter market. Previously, available loan fee benchmark was mean past 15 trading days. On March 1, 2011, this interval reduced to 3 days, significantly improving short-sellers' ability predict current fees. find that after change, fees fell, volume increased, total revenue remained stable, high-cost lenders lost market share, and efficiency increased. Our results suggest implementing benchmarks OTC markets can improve quality.
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