Duong, Truong X.
[Verfasser:in]
;
Huszar, Zsuzsa R.
[Sonstige Person, Familie und Körperschaft];
Tan, R.S.K
[Sonstige Person, Familie und Körperschaft];
Zhang, Weina
[Sonstige Person, Familie und Körperschaft]
Anmerkungen:
In: Review of Finance, 21, 2353–2377, 2017
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments December 6, 2016 erstellt
Beschreibung:
We find that higher stock lending fees predict significantly lower future returns after controlling for shorting demand for U.S. stocks during the period 2007–2010. These results suggest that active institutional investors on the supply side play an important role in the return predictability of fees and they not only respond to demand but also price in additional information around earnings news announcements. Overall, we find evidence that stock lenders are informed and, together with short sellers, contribute to the price discovery process