NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH

The Effects of Stock Lending on Security Prices: An Experiment

Steven N. Kaplan, Tobias J. Moskowitz, Berk A. Sensoy

NBER Working Paper No. 16335
Issued in September 2010
NBER Program(s):   AP   CF

Working with a sizeable, anonymous money manager, we randomly make available for lending two-thirds of the high-loan fee stocks in the manager’s portfolio and withhold the other third to produce an exogenous shock to loan supply. We implement the lending experiment in two independent phases: the first, from September 5 to 18, 2008, with over $580 million of securities lent; and the second, from June 5 to September 30, 2009, with over $250 million of securities lent. The supply shocks are sizeable and significantly reduce lending fees, but returns, volatility, skewness, and bid-ask spreads remain unaffected. Results are consistent across both phases of the experiment and indicate no adverse effects from securities lending on stock prices.

download in pdf format
   (2849 K)

email paper

This paper is available as PDF (2849 K) or via email.

Machine-readable bibliographic record - MARC, RIS, BibTeX

Document Object Identifier (DOI): 10.3386/w16335

The Effects of Stock Lending on Security Prices: An Experiment” with Tobias Moskowitz and Berk Sensoy, Journal of Finance, forthcoming.

Users who downloaded this paper also downloaded these:
Ashcraft, Garleanu, and Pedersen w16337 Two Monetary Tools: Interest Rates and Haircuts
Campello, Giambona, Graham, and Harvey w16309 Liquidity Management and Corporate Investment During a Financial Crisis
Bettinger w16333 Paying to Learn: The Effect of Financial Incentives on Elementary School Test Scores
Belo, Xue, and Zhang w16336 Cross-sectional Tobin's Q
Reinhart and Reinhart w16334 After the Fall
 
Publications
Activities
Meetings
NBER Videos
Data
People
About

Support
National Bureau of Economic Research, 1050 Massachusetts Ave., Cambridge, MA 02138; 617-868-3900; email: info@nber.org

Contact Us