Is There a Risk Premium in the Stock Lending Market? Evidence from Equity Options
研究检验股票借贷费用不确定性是否带来风险溢价，利用期权价格与实现费用的差异估计溢价大小，发现溢价很小且无法预测费用调整后的卖空收益。
ABSTRACT Recent research argues that uncertainty about future stock borrowing fees hinders short‐selling, and this risk explains the performance of short strategies. One possible mechanism is that borrowing fee risk carries a risk premium. Since the present value of the uncertain borrowing fee is reflected in options prices, the difference between option‐implied and realized fees estimates this premium. We find that the risk premium is small. Moreover, if the risk premium is substantial, it should be reflected in the returns to short‐selling stock after adjusting for stock borrowing fees. However, borrowing fee risk does not predict fee‐adjusted returns.