Private Information, Securities Lending, and Asset Prices
| Autor: | Pedram Nezafat, Mark Schroder |
|---|---|
| Rok vydání: | 2021 |
| Předmět: |
Rational expectations
Economics and Econometrics 050208 finance 05 social sciences Financial system Monetary economics Stock price Information asymmetry Loan Accounting 0502 economics and business Economics Statistical dispersion Securities lending Asset (economics) Business 050207 economics Private information retrieval Finance |
| Zdroj: | The Review of Financial Studies. 35:1009-1063 |
| ISSN: | 1465-7368 0893-9454 |
| Popis: | We study the role of private information in the equity lending market in a rational expectations model with endogenous loan fees. When all investors are privately informed, an increase in information precision reduces the fee by increasing trade aggressiveness and decreasing demand dispersion. However, when some investors are uninformed, the information asymmetry tends to increase the fee, and, thus, the overall effect of an increase in precision is ambiguous. We show that the fee can be incrementally informative given the stock price and that fee opaqueness tends to increase the fee but has an ambiguous effect on the stock price. |
| Databáze: | OpenAIRE |
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