Impact of a new benchmark on the OTC market: evidence from Brazil

Detalhes bibliográficos
Autor(a) principal: Cereda, Fábio Saia
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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spelling 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
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