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Securities Lending and Information Acquisition

Pedro Saffi

We show that mutual funds make portfolio allocation decisions conditional on information acquired from participating in the equity lending market. Using unique data from German mutual, we show that funds that lend shares to short sellers are more likely to exit positions relative both to stocks that they do not lend and to funds that do not lend. Lenders avoid losses by better timing the closure of long positions than for stocks they do not lend. Finally, we show information acquisition in the lending market allows lenders to front-run public disclosure of large short positions.

End of Award Report - April 2021


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Best Student Paper Award 2021 - competition is now open

Feb 12, 2021

For the last 13 years, Cambridge Finance is offering its Best Student Paper Award. The award comprises a cash honorarium of £1,000 and a certificate is awarded to the author of the best student paper in finance presented during the 2020-2021 academic year.

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