Footnote:
In: Journal of Financial and Quantitative Analysis (JFQA), Vol. 50, No. 4, 2015
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments June 1, 2013 erstellt
Description:
I test the Duffie, Gârleanu, and Pedersen (2002) 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