Strategic Behavior by Equity Lenders

References

• Akbas F, Boehmer E, Erturk B, Sorescu S (2017) Short interest, returns, and unfavorable fundamental information. Financial Management 46(2):455–486.Crossref, Google Scholar
• Amihud Y (2002) Illiquidity and stock returns: Cross-section and time series effects. J. Financial Markets 5(1):31–56.Crossref, Google Scholar
• Ang A, Hodrick RJ, Xing Y, Zhang X (2006) The cross-section of volatility and expected returns. J. Finance 61(1):259–299.Crossref, Google Scholar
• Arnold T, Butler AW, Crack TF, Zhang Y (2005) The information content of short interest: A natural experiment. J. Bus. 78(4):1307–1336.Crossref, Google Scholar
• Baklanova V, Copeland A, McCaughrin R (2015) Reference guide to U.S. repo and securities lending markets. Report 740, Federal Reserve Bank of New York, New York.Google Scholar
• Beneish MD, Lee CMC, Nichols DC (2015) In short supply: Short-sellers and stock returns. J. Accounting Econom. 60(2–3):33–57.Crossref, Google Scholar
• Blocher J, Whaley RE (2016) Two-sided markets in asset management: Exchange-traded funds and securities lending. Research paper, Vanderbilt Owen Graduate School of Management Research, Nashville, TN.Google Scholar
• Blocher J, Reed AV, Van Wesep ED (2013) Connecting two markets: An equilibrium framework for shorts, longs, and stock loans. J. Financial Econom. 108(2):302–322.Crossref, Google Scholar
• Boehmer E, Jones CM, Zhang X (2008) Which shorts are informed? J. Finance 63(2):491–527.Crossref, Google Scholar
• Boehmer E, Jones CM, Wu J, Zhang X (2020) What do short sellers know? Rev. Finance 24(6):1203–1235.Crossref, Google Scholar
• Bollinger J (2001) Bollinger on Bollinger Bands, 1st ed. (McGraw-Hill, New York).Google Scholar
• Brent A, Morse D, Stice EK (1990) Short interest: Explanations and tests. J. Financial Quant. Anal. (Oxford) 25(2):273–289.Crossref, Google Scholar
• Campbell JY, Hilscher J, Szilagyi J (2008) In search of distress risk. J. Finance 63(6):2899–2939.Crossref, Google Scholar
• Carhart MM (1997) On persistence in mutual fund performance. J. Finance 52(1):57–82.Crossref, Google Scholar
• Chen J, Hong H, Stein JC (2002) Breadth of ownership and stock returns. J. Financial Econom. 66(2–3):171–205.Crossref, Google Scholar
• Chordia T, Shivakumar L (2006) Earnings and price momentum. J. Financial Econom. 80(3):627–656.Crossref, Google Scholar
• Cohen L, Diether KB, Malloy CJ (2007) Supply and demand shifts in the shorting market. J. Finance 62(5):2061–2096.Crossref, Google Scholar
• Cooper MJ, Gulen H, Schill MJ (2008) Asset growth and the cross-section of stock returns. J. Finance 63(4):1609–1651.Crossref, Google Scholar
• Daniel K, Grinblatt M, Titman S, Wermers R (1997) Measuring mutual fund performance with characteristic-based benchmarks. J. Finance 52(3):1035–1058.Crossref, Google Scholar
• D’Avolio G (2002) The market for borrowing stock. J. Financial Econom. 66(2–3):271–306.Crossref, Google Scholar
• Dechow PM, Hutton AP, Meulbroek L, Sloan RG (2001) Short-sellers, fundamental analysis and stock returns. J. Financial Econom. 61(1):77–106.Crossref, Google Scholar
• Diamond DW, Verrecchia RE (1987) Constraints on short-selling and asset price adjustment to private information. J. Financial Econom. 18(2):277–311.Crossref, Google Scholar
• Diether KB, Malloy CJ, Scherbina A (2002) Difference of opinion and the cross section of stock returns. J. Finance 57(5):2113–2141.Crossref, Google Scholar
• Drechsler I, Drechsler Q(S (2016) The shorting premium and asset pricing anomalies. NBER Working Paper No. 20282, National Bureau of Economic Research, Cambridge, MA.Google Scholar
• Duong TX, Huszár ZR, Tan RSK, Zhang W (2017) The information value of stock lending fees: Are lenders price takers? Rev. Finance 21(6):2353–2377.Crossref, Google Scholar
• Engelberg JE, Reed AV, Ringgenberg MC (2018) Short-selling risk. J. Finance 73(2):755–786.Crossref, Google Scholar
• Engelberg J, Evans RB, Leonard G, Reed AV, Ringgenberg MC (2024) The loan fee anomaly: A short seller’s best ideas. Management Sci. 71(1):5529–5551.Google Scholar
• Epstein G (1995) Short can be sweet. Barron’s 75(40):32.Google Scholar
• Fama EF, MacBeth JD (1973) Risk, return, and equilibrium: Empirical tests. J. Political Econom. 81:607–636.Crossref, Google Scholar
• Faulkner MC (2005) An introduction to securities lending. Fabozzi FJ, Mann SV, eds. Securities Lending and Repurchase Agreements, The Frank J. Fabozzi Series, Chapter Part One: Securities Lending (John Wiley & Sons, Hoboken, NJ), 3–37.Google Scholar
• Geczy CC, Musto DK, Reed AV (2002) Stocks are special too: An analysis of the equity lending market. J. Financial Econom. 66(2–3):241–269.Crossref, Google Scholar
• Haddad V, Muir T (2021) Do intermediaries matter for aggregate asset prices? J. Finance 76(6):2719–2761.Crossref, Google Scholar
• Hester A (2024) An advanced perspective on securities lending. Accessed April 1, 2025, www.ssga.com/us/en/intermediary/ic/insights/perspective-on-securities-lending.Google Scholar
• Kolasinski AC, Reed AV, Ringgenberg MC (2013) A multiple lender approach to understanding supply and search in the equity lending market. J. Finance 68(2):559–595.Crossref, Google Scholar
• Miller EM (1977) Risk, uncertainty, and divergence of opinion. J. Finance 32(4):1151–1168.Crossref, Google Scholar
• Mitchell M, Pulvino T (2001) Characteristics of risk and return in risk arbitrage. J. Finance 56(6):2135–2175.Crossref, Google Scholar
• Mitchell M, Pulvino T, Stafford E (2004) Price pressure around mergers. J. Finance 59(1):31–63.Crossref, Google Scholar
• Muravyev D, Pearson ND, Pollet JM (2018) Understanding returns to short selling using option-implied stock borrowing fees. Preprint, submitted April 20, https://dx.doi.org/10.2139/ssrn.2851560.Google Scholar
• Newey WK, West KD (1987) A simple, positive semi-definite, heteroskedasticity and autocorrelation consistent covariance matrix. Econometrica 55(3):703–708.Crossref, Google Scholar
• Saffi PAC, Sigurdsson K (2011) Price efficiency and short selling. Rev. Financial Stud. 24(3):821–852.Crossref, Google Scholar
• Shleifer A, Vishny RW (1997) The limits of arbitrage. J. Finance 52(1):35–55.Crossref, Google Scholar
• Stambaugh RF, Yu J, Yuan Y (2012) The short of it: Investor sentiment and anomalies. J. Financial Econom. 104(2):288–302.Crossref, Google Scholar
• Werner S (2010) Short Selling Activities and Convertible Bond Arbitrage (Gabler-Verlag, New York).Crossref, Google Scholar