haku: @freeterm Short-sale constraints / yhteensä: 2
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| Tekijä: | D'Avolio, G. |
| Otsikko: | The market for borrowing stock |
| Lehti: | Journal of Financial Economics
2002 : DEC, VOL. 66:2-3, p. 271-306 |
| Asiasana: | Stock markets Short selling |
| Vapaa asiasana: | Short-sale constraints Divergence of opinion |
| Kieli: | eng |
| Tiivistelmä: | The paper describes the market for borrowing and lending U.S. equities, emphasizing the conditions generating and sustaining short-sale constraints. A large institutional lending intermediary provided eighteeen months of data on loan supply, loan fees, and loan recalls. Tha data suggest that while loan market specials and recalls are rare on average, the incidence of these short-sale constraints is increasing in the divergence of opinion among investors. Beyond some threshold, investor optimism itself can limit arbitrage via the loan market mechanism. |
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