Working Papers

Lender Entry and Collateral Specialization

with Jose Liberti and Andrew Sutherland

Securities Lending and Information Acquisition

with Stefan Greppmair, Stephan Jank, and Pedro A. C. Saffi

Summary: We use unique micro data on German mutual fund long and lending positions to provide evidence that securities lending is a mechanism for information acquisition and a channel through which informed investors convey their information to uninformed investors. The results suggest that short-sellers and active lenders have complementary roles in information acquisition and trading in a manner that improves price informativeness.

Shareholder-Creditor Conflicts and Limits to Arbitrage: Evidence From the Equity Lending Market

withYongqiang Chu, Luca X. Lin, and Pedro A. C. Saffi

Summary: Conflicts of interest between shareholders and creditors affect prices in financial markets through restricting supply in the equity lending market and creating short selling constraints.

Uncovering Collateral Constraints

with Jose Liberti

- Presented at the 2015 American Finance Association Annual Meetings

- Presented at the 2014 Financial Management Association Meeting

- Presented at the 2014 UBC Winter Finance Conference

- Presented at the 2013 Society for Financial Studies Cavalcade

Summary: Collateral plays two roles: it incentivizes borrowers to repay, and it insures lenders against the possibility of default. If the former effect is strong enough, then borrowers will always choose to repay as long as they can afford to do so. In that case, the realized default rate should be independent of the degree of agency risk. We show that this is indeed the case, implying that the commitment role of collateral is the most important.