| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w16335 |
| 来源ID | Working Paper 16335 |
| The Effects of Stock Lending on Security Prices: An Experiment | |
| Steven N. Kaplan; Tobias J. Moskowitz; Berk A. Sensoy | |
| 发表日期 | 2010-09-02 |
| 出版年 | 2010 |
| 语种 | 英语 |
| 摘要 | 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. |
| 主题 | Financial Economics ; Portfolio Selection and Asset Pricing ; Financial Markets ; Financial Institutions |
| URL | https://www.nber.org/papers/w16335 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/574010 |
| 推荐引用方式 GB/T 7714 | Steven N. Kaplan,Tobias J. Moskowitz,Berk A. Sensoy. The Effects of Stock Lending on Security Prices: An Experiment. 2010. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w16335.pdf（2848KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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