کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
960012 929400 2013 21 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Connecting two markets: An equilibrium framework for shorts, longs, and stock loans
موضوعات مرتبط
علوم انسانی و اجتماعی مدیریت، کسب و کار و حسابداری حسابداری
پیش نمایش صفحه اول مقاله
Connecting two markets: An equilibrium framework for shorts, longs, and stock loans
چکیده انگلیسی

We analyze a reduced-form framework for understanding the equity loan market's impact on share prices. We show that hard-to-borrow stocks will have distinct return patterns, responding more to shocks in the supply of shares available, and to changes in the heterogeneity of investor beliefs, than other stocks. We conduct two empirical tests in which we find strong support for these equilibrium predictions. In our first test, we take advantage of a tax-driven exogenous shock to share loan supply and find that when supply is reduced around dividend record dates, prices of hard-to-borrow stocks increase 1.1% while prices of easy-to-borrow stocks are unaffected. In our second test, we find that hard-to-borrow stocks have 4.8% lower three-month returns than other stocks, with negative returns concentrated in stocks with high heterogeneity in investor beliefs. Thus, we extend the Diether, Malloy, and Scherbina (2002) result that stocks with a greater dispersion of investor beliefs have lower returns.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Financial Economics - Volume 108, Issue 2, May 2013, Pages 302–322
نویسندگان
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