Active Institutional Investors and Short Sale Constraints around the Global Financial Crisis

44 Pages Posted: 19 Jul 2014 Last revised: 19 Dec 2016

See all articles by Zsuzsa R. Huszar

Zsuzsa R. Huszar

Corvinus University of Budapest; National University of Singapore ; Central European University

R.S.K. Tan

National University of Singapore

Weina Zhang

National University of Singapore (NUS) - Sustainable & Green Finance Institute (SGFIN)

Date Written: October 3, 2015

Abstract

In a sample of U.S. stocks, higher stock lending fees predict significantly lower excess returns beyond shorting demand and loan supply. This relation is stronger after October 2008 which is likely attributable to a regime shift in the lending market with the onset of the Global Financial Crisis. We show that active institutional lenders not only respond to demand but also price in private information around earnings news announcements. As lenders raise fees before negative announcement in expectation of higher future shorting demand, they likely create more binding short-sale constraints when short selling could be essential for price discovery.

Keywords: Institutional ownership, Securities lending market, Short sales, Short sale constraints

JEL Classification: G10, G12, G14

Suggested Citation

Huszar, Zsuzsa R. and Huszar, Zsuzsa R. and Tan, Ruth Seow Kuan and Zhang, Weina, Active Institutional Investors and Short Sale Constraints around the Global Financial Crisis (October 3, 2015). Available at SSRN: https://ssrn.com/abstract=2468052 or http://dx.doi.org/10.2139/ssrn.2468052

Zsuzsa R. Huszar (Contact Author)

Corvinus University of Budapest ( email )

Fővám tér 8.
Budapest, 1093
Hungary

National University of Singapore ( email )

Business School
15 Kent Ridge Drive
Singapore, 117592
Singapore
+65 6516 8017 (Phone)
+65 6779 2083 (Fax)

Central European University ( email )

Nador utca 9
Budapest, H-1051
Hungary

Ruth Seow Kuan Tan

National University of Singapore ( email )

1 Business Link
Singapore 117592, 117592
Singapore
65-65166265 (Phone)
65-67792083 (Fax)

Weina Zhang

National University of Singapore (NUS) - Sustainable & Green Finance Institute (SGFIN) ( email )

Singapore

HOME PAGE: http://bizfaculty.nus.edu/faculty-profiles/108-weina

Do you have negative results from your research you’d like to share?

Paper statistics

Downloads
168
Abstract Views
1,265
Rank
319,270
PlumX Metrics