A Multiple Lender Approach to Understanding Supply and Search in the Equity Lending Market
利用12家贷款方的独特数据，研究了股票借贷费用如何响应需求冲击，发现需求高时费用显著上升，且搜寻摩擦加剧费用离散，影响卖空成本。
ABSTRACT Using unique data from 12 lenders, we examine how equity lending fees respond to demand shocks. We find that, when demand is moderate, fees are largely insensitive to demand shocks. However, at high demand levels, further increases in demand lead to significantly higher fees and the extent to which demand shocks impact fees is also related to search frictions in the loan market. Moreover, consistent with search models, we find significant dispersion in loan fees, with this dispersion increasing in loan scarcity and search frictions. Our findings imply that search frictions significantly impact short selling costs.