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Future lending income and security value
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Resumo(s)
I test the Duffie, Gârleanu, and Pedersen hypothesis that security prices incorporate
expected future securities lending income. To determine whether institutional investors anticipate gains from future lending of securities, I examine their trading behavior around loan-fee increases. The evidence suggests that institutions buy shares in response to an increase in lending fees, and that this could explain the premium associated with high- lending-fee stocks. Expected future lending income affects stock prices, although the effect seems to be attenuated by the negative information that arises from short selling.
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Citação
This is a pre-copyedited, author-produced PDF of an article accepted for publication in Journal of Financial & Quantitative Analysis following peer review. The version of record Prado, M. P. (2015). Future Lending Income and Security Value. Journal of Financial & Quantitative Analysis, 50(4), 869–902. is available online at: http://dx.doi.org/10.1017/S0022109015000393
Editora
Cambridge University Press