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Conference Paper: Equity Lending Market condition and Stock Price crashes: evidence from lending fees and fee risk
Title | Equity Lending Market condition and Stock Price crashes: evidence from lending fees and fee risk |
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Authors | |
Issue Date | 2016 |
Citation | The 27th CEPR European Summer Symposium in Financial Markets (ESSFM 2016), Gerzensee, Switzerland, 18-29 July 2016. How to Cite? |
Abstract | We find that stock price crashes are positively associated with lagged equity lending fee and fee risk. We establish causality by adopting a fuzzy regression discontinuity design to instrument for lending fee and fee risk based on Russell 1000/2000 index reconstitution. This positive relation is stronger for stocks with lower short interest, higher arbitrage risk, and higher information uncertainty. Our results are robust to using alternative measures of price crash risk and equity lending market condition. Overall, our findings indicate that higher short-sale costs and risks result in higher stock price crash risk due to the accumulation of negative information. |
Description | ESSFM 2016 Asset Pricing Informal Evening Sessions |
Persistent Identifier | http://hdl.handle.net/10722/232974 |
DC Field | Value | Language |
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dc.contributor.author | Lin, TC | - |
dc.contributor.author | Chang, EC | - |
dc.contributor.author | Ma, X | - |
dc.date.accessioned | 2016-09-20T05:33:43Z | - |
dc.date.available | 2016-09-20T05:33:43Z | - |
dc.date.issued | 2016 | - |
dc.identifier.citation | The 27th CEPR European Summer Symposium in Financial Markets (ESSFM 2016), Gerzensee, Switzerland, 18-29 July 2016. | - |
dc.identifier.uri | http://hdl.handle.net/10722/232974 | - |
dc.description | ESSFM 2016 Asset Pricing Informal Evening Sessions | - |
dc.description.abstract | We find that stock price crashes are positively associated with lagged equity lending fee and fee risk. We establish causality by adopting a fuzzy regression discontinuity design to instrument for lending fee and fee risk based on Russell 1000/2000 index reconstitution. This positive relation is stronger for stocks with lower short interest, higher arbitrage risk, and higher information uncertainty. Our results are robust to using alternative measures of price crash risk and equity lending market condition. Overall, our findings indicate that higher short-sale costs and risks result in higher stock price crash risk due to the accumulation of negative information. | - |
dc.language | eng | - |
dc.relation.ispartof | CEPR European Summer Symposium in Financial Markets, ESSFM 2016 | - |
dc.title | Equity Lending Market condition and Stock Price crashes: evidence from lending fees and fee risk | - |
dc.type | Conference_Paper | - |
dc.identifier.email | Lin, TC: chunlin@hku.hk | - |
dc.identifier.email | Chang, EC: ecchang@hku.hk | - |
dc.identifier.email | Ma, X: xrma@business.hku.hk | - |
dc.identifier.authority | Lin, TC=rp01077 | - |
dc.identifier.authority | Chang, EC=rp01050 | - |
dc.identifier.hkuros | 265917 | - |