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Jurnal

Journal of Financial Economics

Keyword

Loan fees; Short-selling restrictions; Search costs; Equity lending market; Opaque markets

Pengarang

  1. Fernando Chague
  2. Rodrigo De-Losso
  3. Alan De Genaro
  4. Bruno Giovannetti

    Subject

    1. ECONOMIC
    2. FINANCIAL

      [Abstrak]

      High
      loan fees generate short-selling constraints and, therefore, reduce
      price efficiency. Despite the importance of loan fees, empirical
      evidence on their determinants is scarce. Using a market-wide
      deal-by-deal data set on the Brazilian equity lending market which
      uniquely identifies borrowers, brokers, and lenders, we are able to
      construct a proxy of search costs at the borrower–stock–day level. We
      find that—for the same stock, on the same day—borrowers with higher
      search costs pay significantly higher loan fees. Our results suggest
      that regulators should encourage the use of a centralized lending
      platform to reduce search costs in the lending market.

      Keywords


      Periode

      Vol 123, Nomor 3, Tahun 2017

      [Berkas]

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