Impact of a new benchmark on the OTC market: evidence from Brazil
Autor(a) principal: | |
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Data de Publicação: | 2019 |
Tipo de documento: | Dissertação |
Idioma: | eng |
Título da fonte: | Biblioteca Digital de Teses e Dissertações da USP |
Texto Completo: | http://www.teses.usp.br/teses/disponiveis/12/12138/tde-21102019-163051/ |
Resumo: | This paper can be divided in two main parts. First, we analyze the effects of the publication of a new benchmark on the Brazilian stock lending market. In the second part, we use the findings provided by the first analysis to create an instrument to assess the relation between short-selling and two characteristics of the spot market: price efficiency and stock liquidity. The study is based on a unique data set of all the loan contracts for a 60-day window around the introduction of the benchmark, containing the information of 162,195 deals of 279 tickers. We present three main findings. First, the publication of the new benchmark caused an overall reduction in average loan fees, and a narrowing of loan and brokerage fee dispersion. Second, the impact on loan fees was higher for tickers with a history of high volatility, high average loan fee and low average number of borrowers per day. Third, short-selling constraints - measured by the exogenous variation of loan fees - are associated with lower price efficiency, and an inconclusive result for market liquidity |
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Impact of a new benchmark on the OTC market: evidence from BrazilImpacto de um novo benchmark no mercado de balcão brasileiroBenchmarkBenchmarkEficiência de preçoLiquidezLiquidityLoan and brokerage feesMercados opacosOpaque marketsPrice efficiencyTaxas de empréstimo e corretagemThis paper can be divided in two main parts. First, we analyze the effects of the publication of a new benchmark on the Brazilian stock lending market. In the second part, we use the findings provided by the first analysis to create an instrument to assess the relation between short-selling and two characteristics of the spot market: price efficiency and stock liquidity. The study is based on a unique data set of all the loan contracts for a 60-day window around the introduction of the benchmark, containing the information of 162,195 deals of 279 tickers. We present three main findings. First, the publication of the new benchmark caused an overall reduction in average loan fees, and a narrowing of loan and brokerage fee dispersion. Second, the impact on loan fees was higher for tickers with a history of high volatility, high average loan fee and low average number of borrowers per day. Third, short-selling constraints - measured by the exogenous variation of loan fees - are associated with lower price efficiency, and an inconclusive result for market liquidityEsta dissertação pode ser dividida em duas principais partes. Na primeira, nós analisamos os efeitos da publicação de um novo benchmark no mercado de aluguel de ações. Na segunda, nós utilizamos as descobertas obtidas na primeira parte para criar um instrumento que nos permite avaliar a relação entre a venda a descoberto e duas características do mercado à vista: eficiência de preço e liquidez. O estudo é baseado em uma base de dados com todas as negociações de empréstimo de ações em um período de 60 dias em torno da implementação do novo benchmark, contendo 162.195 negócios de 279 ações. Nós apresentamos três principais achados. Primeiro, a publicação do benchmark resultou em uma queda geral das taxas de empréstimos, e uma diminuição da dispersão da taxa de empréstimo e de corretagem. Segundo, o impacto nas taxas de empréstimo foi mais alto para ações com histórico de alta volatilidade, alta taxa de empréstimo média, e baixo número de tomadores por dia. Terceiro, restrições às operações de venda a descoberto - mensuradas pela variação exógena das taxas de empréstimo - estão associadas com menor eficiência de preços, e a um resultado inconclusivo em relação à liquidez de mercadoBiblioteca Digitais de Teses e Dissertações da USPBueno, Rodrigo de Losso da SilveiraCereda, Fábio Saia2019-08-23info:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/masterThesisapplication/pdfhttp://www.teses.usp.br/teses/disponiveis/12/12138/tde-21102019-163051/reponame:Biblioteca Digital de Teses e Dissertações da USPinstname:Universidade de São Paulo (USP)instacron:USPLiberar o conteúdo para acesso público.info:eu-repo/semantics/openAccesseng2019-11-08T23:47:34Zoai:teses.usp.br:tde-21102019-163051Biblioteca Digital de Teses e Dissertaçõeshttp://www.teses.usp.br/PUBhttp://www.teses.usp.br/cgi-bin/mtd2br.plvirginia@if.usp.br|| atendimento@aguia.usp.br||virginia@if.usp.bropendoar:27212019-11-08T23:47:34Biblioteca Digital de Teses e Dissertações da USP - Universidade de São Paulo (USP)false |
dc.title.none.fl_str_mv |
Impact of a new benchmark on the OTC market: evidence from Brazil Impacto de um novo benchmark no mercado de balcão brasileiro |
title |
Impact of a new benchmark on the OTC market: evidence from Brazil |
spellingShingle |
Impact of a new benchmark on the OTC market: evidence from Brazil Cereda, Fábio Saia Benchmark Benchmark Eficiência de preço Liquidez Liquidity Loan and brokerage fees Mercados opacos Opaque markets Price efficiency Taxas de empréstimo e corretagem |
title_short |
Impact of a new benchmark on the OTC market: evidence from Brazil |
title_full |
Impact of a new benchmark on the OTC market: evidence from Brazil |
title_fullStr |
Impact of a new benchmark on the OTC market: evidence from Brazil |
title_full_unstemmed |
Impact of a new benchmark on the OTC market: evidence from Brazil |
title_sort |
Impact of a new benchmark on the OTC market: evidence from Brazil |
author |
Cereda, Fábio Saia |
author_facet |
Cereda, Fábio Saia |
author_role |
author |
dc.contributor.none.fl_str_mv |
Bueno, Rodrigo de Losso da Silveira |
dc.contributor.author.fl_str_mv |
Cereda, Fábio Saia |
dc.subject.por.fl_str_mv |
Benchmark Benchmark Eficiência de preço Liquidez Liquidity Loan and brokerage fees Mercados opacos Opaque markets Price efficiency Taxas de empréstimo e corretagem |
topic |
Benchmark Benchmark Eficiência de preço Liquidez Liquidity Loan and brokerage fees Mercados opacos Opaque markets Price efficiency Taxas de empréstimo e corretagem |
description |
This paper can be divided in two main parts. First, we analyze the effects of the publication of a new benchmark on the Brazilian stock lending market. In the second part, we use the findings provided by the first analysis to create an instrument to assess the relation between short-selling and two characteristics of the spot market: price efficiency and stock liquidity. The study is based on a unique data set of all the loan contracts for a 60-day window around the introduction of the benchmark, containing the information of 162,195 deals of 279 tickers. We present three main findings. First, the publication of the new benchmark caused an overall reduction in average loan fees, and a narrowing of loan and brokerage fee dispersion. Second, the impact on loan fees was higher for tickers with a history of high volatility, high average loan fee and low average number of borrowers per day. Third, short-selling constraints - measured by the exogenous variation of loan fees - are associated with lower price efficiency, and an inconclusive result for market liquidity |
publishDate |
2019 |
dc.date.none.fl_str_mv |
2019-08-23 |
dc.type.status.fl_str_mv |
info:eu-repo/semantics/publishedVersion |
dc.type.driver.fl_str_mv |
info:eu-repo/semantics/masterThesis |
format |
masterThesis |
status_str |
publishedVersion |
dc.identifier.uri.fl_str_mv |
http://www.teses.usp.br/teses/disponiveis/12/12138/tde-21102019-163051/ |
url |
http://www.teses.usp.br/teses/disponiveis/12/12138/tde-21102019-163051/ |
dc.language.iso.fl_str_mv |
eng |
language |
eng |
dc.relation.none.fl_str_mv |
|
dc.rights.driver.fl_str_mv |
Liberar o conteúdo para acesso público. info:eu-repo/semantics/openAccess |
rights_invalid_str_mv |
Liberar o conteúdo para acesso público. |
eu_rights_str_mv |
openAccess |
dc.format.none.fl_str_mv |
application/pdf |
dc.coverage.none.fl_str_mv |
|
dc.publisher.none.fl_str_mv |
Biblioteca Digitais de Teses e Dissertações da USP |
publisher.none.fl_str_mv |
Biblioteca Digitais de Teses e Dissertações da USP |
dc.source.none.fl_str_mv |
reponame:Biblioteca Digital de Teses e Dissertações da USP instname:Universidade de São Paulo (USP) instacron:USP |
instname_str |
Universidade de São Paulo (USP) |
instacron_str |
USP |
institution |
USP |
reponame_str |
Biblioteca Digital de Teses e Dissertações da USP |
collection |
Biblioteca Digital de Teses e Dissertações da USP |
repository.name.fl_str_mv |
Biblioteca Digital de Teses e Dissertações da USP - Universidade de São Paulo (USP) |
repository.mail.fl_str_mv |
virginia@if.usp.br|| atendimento@aguia.usp.br||virginia@if.usp.br |
_version_ |
1809090969659768832 |