Working Paper: NBER ID: w16335
Authors: Steven N. Kaplan; Tobias J. Moskowitz; Berk A. Sensoy
Abstract: 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.
Keywords: No keywords provided
JEL Codes: G12; G14; G18; G23
Edges that are evidenced by causal inference methods are in orange, and the rest are in light blue.
| Cause | Effect |
|---|---|
| supply shocks from stock lending (G19) | stock prices (G12) |
| supply shocks from stock lending (G19) | raw and risk-adjusted returns (G17) |
| supply shocks from stock lending (G19) | volatility (E32) |
| supply shocks from stock lending (G19) | skewness (C46) |
| supply shocks from stock lending (G19) | bid-ask spreads (G19) |