Securities lending and information acquisition

Arbeitspapier

Using microdata on stock-level lending positions from German mutual funds, we show that active funds use the equity lending market to obtain information about short sale demand. Funds reduce long positions in response to these demand signals, which allows fund managers to front-run public disclosure of big short positions and avoid future losses. Fund managers exploit this information advantage across funds they manage, but do not share it within their fund family, consistent with short demand signals providing an information advantage. Our results suggest a new motive for securities lending and an information aggregation role for the equity lending market.

Object Details

• ISBN: 978-3-95729-981-9
• Language: Englisch

References and Relationships

• Bibliographic citation: Series: Deutsche Bundesbank Discussion Paper ; No. 08/2024

Classification and Topics

• Classification: Wirtschaft ; General Financial Markets: General (includes Measurement and Data) ; Asset Pricing; Trading Volume; Bond Interest Rates ; Information and Market Efficiency; Event Studies; Insider Trading ; General Financial Markets: Government Policy and Regulation
• Subject: Equity lending markets ; mutual funds ; short sales ; short interest ; price revelation ; public disclosure

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Greppmair, Stefan ; Jank, Stephan ; Saffi, Pedro A. C. ; Sturgess, Jason
• Event: Veröffentlichung
• (who): Deutsche Bundesbank
• (where): Frankfurt a. M.
• (when): 2024

Further information

• Last update: 10.03.2025, 11:44 AM CET