The Market for borrowing securities in Brazil

Detalhes bibliográficos
Autor(a) principal: Mota, Lira Rocha da
Data de Publicação: 2013
Tipo de documento: Dissertação
Idioma: eng
Título da fonte: Repositório Institucional do FGV (FGV Repositório Digital)
Texto Completo: https://hdl.handle.net/10438/11738
Resumo: We report the results of an exploratory data analysis of the Brazilian securities lending market. The analysis is performed over the full historical data set of each individual loan offer and loan contract negotiated between January 2007 and August 2013. We give a quantitative description of volume and loan fee trends and fee dependence on asset characteristics. We also unveil new stylized facts specific to the Brazilian market on market access asymmetries between different types of investors. The emerging picture is that the Brazilian securities lending market is a complex environment with specific frictions and strong asymmetries among players. In particular, we describe a tax arbitrage operation performed by domestic mutual funds which generates a significant distortion in the data. In one such event, we estimate additional aggregate profits of 24.25 million Reais (around 10 million Dollars).
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spelling Mota, Lira Rocha daEscolas::EPGEFGVRibeiro, Ruy MonteiroCosta, Carlos Eugênio Ellery Lustosa daBonomo, Marco Antônio Cesar2014-05-08T13:41:34Z2014-05-08T13:41:34Z2013-12-23MOTA, Lira Rocha de. The Market for borrowing securities in Brazil. Dissertação (Mestrado em Economia) - FGV - Fundação Getúlio Vargas, Rio de Janeiro, 2013.https://hdl.handle.net/10438/11738We report the results of an exploratory data analysis of the Brazilian securities lending market. The analysis is performed over the full historical data set of each individual loan offer and loan contract negotiated between January 2007 and August 2013. We give a quantitative description of volume and loan fee trends and fee dependence on asset characteristics. We also unveil new stylized facts specific to the Brazilian market on market access asymmetries between different types of investors. The emerging picture is that the Brazilian securities lending market is a complex environment with specific frictions and strong asymmetries among players. In particular, we describe a tax arbitrage operation performed by domestic mutual funds which generates a significant distortion in the data. In one such event, we estimate additional aggregate profits of 24.25 million Reais (around 10 million Dollars).engShort-sale constraintsSecurities lendingTax arbitrageBrazilEconomiaMercado financeiroEmpréstimo de títulosAções (Finanças)The Market for borrowing securities in Brazilinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/masterThesisinfo:eu-repo/semantics/openAccessreponame:Repositório Institucional do FGV (FGV Repositório Digital)instname:Fundação Getulio Vargas (FGV)instacron:FGVORIGINALPDFPDFapplication/pdf1327836https://repositorio.fgv.br/bitstreams/56816102-f829-4c48-8f7f-5970e03c72f3/downloadd45aace450f509fb8a98c97ff86e3225MD51LICENSElicense.txtlicense.txttext/plain; charset=utf-84707https://repositorio.fgv.br/bitstreams/d70d7c1d-94a9-4432-b561-5974821b9333/downloaddfb340242cced38a6cca06c627998fa1MD52TEXTdissertacao.pdf.txtdissertacao.pdf.txtExtracted 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dc.title.eng.fl_str_mv The Market for borrowing securities in Brazil
title The Market for borrowing securities in Brazil
spellingShingle The Market for borrowing securities in Brazil
Mota, Lira Rocha da
Short-sale constraints
Securities lending
Tax arbitrage
Brazil
Economia
Mercado financeiro
Empréstimo de títulos
Ações (Finanças)
title_short The Market for borrowing securities in Brazil
title_full The Market for borrowing securities in Brazil
title_fullStr The Market for borrowing securities in Brazil
title_full_unstemmed The Market for borrowing securities in Brazil
title_sort The Market for borrowing securities in Brazil
author Mota, Lira Rocha da
author_facet Mota, Lira Rocha da
author_role author
dc.contributor.unidadefgv.por.fl_str_mv Escolas::EPGE
dc.contributor.affiliation.none.fl_str_mv FGV
dc.contributor.member.none.fl_str_mv Ribeiro, Ruy Monteiro
Costa, Carlos Eugênio Ellery Lustosa da
dc.contributor.author.fl_str_mv Mota, Lira Rocha da
dc.contributor.advisor1.fl_str_mv Bonomo, Marco Antônio Cesar
contributor_str_mv Bonomo, Marco Antônio Cesar
dc.subject.eng.fl_str_mv Short-sale constraints
Securities lending
Tax arbitrage
topic Short-sale constraints
Securities lending
Tax arbitrage
Brazil
Economia
Mercado financeiro
Empréstimo de títulos
Ações (Finanças)
dc.subject.por.fl_str_mv Brazil
dc.subject.area.por.fl_str_mv Economia
dc.subject.bibliodata.por.fl_str_mv Mercado financeiro
Empréstimo de títulos
Ações (Finanças)
description We report the results of an exploratory data analysis of the Brazilian securities lending market. The analysis is performed over the full historical data set of each individual loan offer and loan contract negotiated between January 2007 and August 2013. We give a quantitative description of volume and loan fee trends and fee dependence on asset characteristics. We also unveil new stylized facts specific to the Brazilian market on market access asymmetries between different types of investors. The emerging picture is that the Brazilian securities lending market is a complex environment with specific frictions and strong asymmetries among players. In particular, we describe a tax arbitrage operation performed by domestic mutual funds which generates a significant distortion in the data. In one such event, we estimate additional aggregate profits of 24.25 million Reais (around 10 million Dollars).
publishDate 2013
dc.date.issued.fl_str_mv 2013-12-23
dc.date.accessioned.fl_str_mv 2014-05-08T13:41:34Z
dc.date.available.fl_str_mv 2014-05-08T13:41:34Z
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/masterThesis
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dc.identifier.citation.fl_str_mv MOTA, Lira Rocha de. The Market for borrowing securities in Brazil. Dissertação (Mestrado em Economia) - FGV - Fundação Getúlio Vargas, Rio de Janeiro, 2013.
dc.identifier.uri.fl_str_mv https://hdl.handle.net/10438/11738
identifier_str_mv MOTA, Lira Rocha de. The Market for borrowing securities in Brazil. Dissertação (Mestrado em Economia) - FGV - Fundação Getúlio Vargas, Rio de Janeiro, 2013.
url https://hdl.handle.net/10438/11738
dc.language.iso.fl_str_mv eng
language eng
dc.rights.driver.fl_str_mv info:eu-repo/semantics/openAccess
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