The effects of price transparency in OTC equity lending markets: Evidence from a loan fee benchmark
Autor(a) principal: | |
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Data de Publicação: | 2020 |
Outros Autores: | , , , |
Tipo de documento: | Artigo |
Idioma: | eng |
Título da fonte: | Repositório Institucional do FGV (FGV Repositório Digital) |
Texto Completo: | https://hdl.handle.net/10438/28800 |
Resumo: | We study the effects of a positive shock in price transparency in the Brazilian OTC equity lending market. Before March 1st 2011, a publicly available benchmark was computed as the average loan fee across all loan deals over the previous 15 trading days; on March 1st 2011, this interval was reduced from 15 to three days, increasing the benchmark precision and, consequentially, short-sellers' predictive power over current (unobserved) loan fees. Using difference-in-differences analysis, we show that this change resulted in lower loan fees, with stronger effects for short-sellers with higher search costs. Our results are consistent with the theoretical predictions in Duffie, Dworczak, and Zhu (2017) and can be of interest to regulators few countries have publicly available loan fee benchmarks. |
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Cereda, Fábio SaiaChague, FernandoDe-Losso, RodrigoGenaro, AlanGiovannetti, Bruno CaraEscolas::EESP2020-02-14T12:23:03Z2020-02-14T12:23:03Z2020-02TD 524https://hdl.handle.net/10438/28800We study the effects of a positive shock in price transparency in the Brazilian OTC equity lending market. Before March 1st 2011, a publicly available benchmark was computed as the average loan fee across all loan deals over the previous 15 trading days; on March 1st 2011, this interval was reduced from 15 to three days, increasing the benchmark precision and, consequentially, short-sellers' predictive power over current (unobserved) loan fees. Using difference-in-differences analysis, we show that this change resulted in lower loan fees, with stronger effects for short-sellers with higher search costs. Our results are consistent with the theoretical predictions in Duffie, Dworczak, and Zhu (2017) and can be of interest to regulators few countries have publicly available loan fee benchmarks.engFGV EESP - Textos para Discussão; TD 524OTC marketsBenchmarksLoan feesShort-sellingSearch costsEquity lending marketsEconomiaMercado financeiroMercado de balcãoThe effects of price transparency in OTC equity lending markets: Evidence from a loan fee benchmarkinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articleinfo:eu-repo/semantics/openAccessreponame:Repositório Institucional do FGV (FGV Repositório Digital)instname:Fundação Getulio Vargas (FGV)instacron:FGVORIGINALTD 524 - CEQEF 56.pdfTD 524 - CEQEF 56.pdfPDFapplication/pdf1324381https://repositorio.fgv.br/bitstreams/f9aae581-ee1b-42db-bb3a-4fb2bebf53ff/downloadfdb040cb5a86b767a328d6bbdd842662MD51LICENSElicense.txtlicense.txttext/plain; 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dc.title.eng.fl_str_mv |
The effects of price transparency in OTC equity lending markets: Evidence from a loan fee benchmark |
title |
The effects of price transparency in OTC equity lending markets: Evidence from a loan fee benchmark |
spellingShingle |
The effects of price transparency in OTC equity lending markets: Evidence from a loan fee benchmark Cereda, Fábio Saia OTC markets Benchmarks Loan fees Short-selling Search costs Equity lending markets Economia Mercado financeiro Mercado de balcão |
title_short |
The effects of price transparency in OTC equity lending markets: Evidence from a loan fee benchmark |
title_full |
The effects of price transparency in OTC equity lending markets: Evidence from a loan fee benchmark |
title_fullStr |
The effects of price transparency in OTC equity lending markets: Evidence from a loan fee benchmark |
title_full_unstemmed |
The effects of price transparency in OTC equity lending markets: Evidence from a loan fee benchmark |
title_sort |
The effects of price transparency in OTC equity lending markets: Evidence from a loan fee benchmark |
author |
Cereda, Fábio Saia |
author_facet |
Cereda, Fábio Saia Chague, Fernando De-Losso, Rodrigo Genaro, Alan Giovannetti, Bruno Cara |
author_role |
author |
author2 |
Chague, Fernando De-Losso, Rodrigo Genaro, Alan Giovannetti, Bruno Cara |
author2_role |
author author author author |
dc.contributor.unidadefgv.por.fl_str_mv |
Escolas::EESP |
dc.contributor.author.fl_str_mv |
Cereda, Fábio Saia Chague, Fernando De-Losso, Rodrigo Genaro, Alan Giovannetti, Bruno Cara |
dc.subject.eng.fl_str_mv |
OTC markets Benchmarks Loan fees Short-selling Search costs Equity lending markets |
topic |
OTC markets Benchmarks Loan fees Short-selling Search costs Equity lending markets Economia Mercado financeiro Mercado de balcão |
dc.subject.area.por.fl_str_mv |
Economia |
dc.subject.bibliodata.por.fl_str_mv |
Mercado financeiro Mercado de balcão |
description |
We study the effects of a positive shock in price transparency in the Brazilian OTC equity lending market. Before March 1st 2011, a publicly available benchmark was computed as the average loan fee across all loan deals over the previous 15 trading days; on March 1st 2011, this interval was reduced from 15 to three days, increasing the benchmark precision and, consequentially, short-sellers' predictive power over current (unobserved) loan fees. Using difference-in-differences analysis, we show that this change resulted in lower loan fees, with stronger effects for short-sellers with higher search costs. Our results are consistent with the theoretical predictions in Duffie, Dworczak, and Zhu (2017) and can be of interest to regulators few countries have publicly available loan fee benchmarks. |
publishDate |
2020 |
dc.date.accessioned.fl_str_mv |
2020-02-14T12:23:03Z |
dc.date.available.fl_str_mv |
2020-02-14T12:23:03Z |
dc.date.issued.fl_str_mv |
2020-02 |
dc.type.status.fl_str_mv |
info:eu-repo/semantics/publishedVersion |
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info:eu-repo/semantics/article |
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article |
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https://hdl.handle.net/10438/28800 |
dc.identifier.sici.por.fl_str_mv |
TD 524 |
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TD 524 |
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https://hdl.handle.net/10438/28800 |
dc.language.iso.fl_str_mv |
eng |
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eng |
dc.relation.ispartofseries.none.fl_str_mv |
FGV EESP - Textos para Discussão; TD 524 |
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info:eu-repo/semantics/openAccess |
eu_rights_str_mv |
openAccess |
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reponame:Repositório Institucional do FGV (FGV Repositório Digital) instname:Fundação Getulio Vargas (FGV) instacron:FGV |
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FGV |
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