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| Author(s): |
Daniel de Sales Casula
Total Authors: 1
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| Document type: | Master's Dissertation |
| Press: | São Paulo. |
| Institution: | Universidade de São Paulo (USP). Faculdade de Economia, Administração e Contabilidade (FEA/SBD) |
| Defense date: | 2019-06-03 |
| Examining board members: |
Rodrigo de Losso da Silveira Bueno;
Marco Antonio Cesar Bonomo;
Marcelo Fernandes;
Bruno Cara Giovannetti
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| Advisor: | Rodrigo de Losso da Silveira Bueno |
| Abstract | |
It is widely accepted in the literature that high lending fees predict negative returns because high fees capture the negative information from short sellers, on the demand side. Traditionally, the supply side is seen as passive, in which stock lenders act as price takers. Recent studies, however, have shown that this passivity of lenders no longer perpetuates. Faced with this discussion, the present study analyze the Brazilian stock loan market and disentangles the shorting demand and shorting supply curve shifts in order to understand the driving mechanism linking the supply side and stock returns. We also link the shorting supply curve with new announcements and verify how lenders react to a new information in the market. Our results indicate that lenders decrease the loan supply when they predict negative future returns and that they use new information to change supply conditions, indicating that lenders are not price takers (AU) | |
| FAPESP's process: | 17/19347-1 - Short Selling, the supply side: are lenders price makers? |
| Grantee: | Daniel de Sales Casula |
| Support Opportunities: | Scholarships in Brazil - Master |