Securities Lending and Trading by Active and Passive Funds
研究发现美国共同基金在证券借贷市场中从股票借入中提取信息，主动基金利用信息调整持仓，而被动基金不这样做，且被动基金收取更高借贷费用。
Abstract U.S. mutual funds in the securities lending market extract information from stock borrowing. Active funds exploit this information, rebalancing away from borrowed stocks whose prices tend to decrease, whereas passive funds do not. Information spillovers within fund families are stronger when the lender is a passive fund and when the family is more cooperative (less competitive). Active funds trade more aggressively on stocks with more negative future returns, suggesting that they are able to identify informed borrowing. Finally, passive funds charge higher lending fees than active funds, consistent with short sellers paying a premium to lower recall risk.