Private Information, Securities Lending, and Asset Prices
构建理性预期模型，研究私人信息如何通过影响借贷费用进而影响资产价格，发现信息精度对费用的作用取决于投资者是否知情，且费用透明度对价格影响不确定。
Abstract We study the role of private information in the equity lending market in a rational expectations model with endogenous loan fees. When all investors are privately informed, an increase in information precision reduces the fee by increasing trade aggressiveness and decreasing demand dispersion. However, when some investors are uninformed, the information asymmetry tends to increase the fee, and, thus, the overall effect of an increase in precision is ambiguous. We show that the fee can be incrementally informative given the stock price and that fee opaqueness tends to increase the fee but has an ambiguous effect on the stock price.