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Conference Paper: Equity Lending Market condition and Stock Price crashes: evidence from lending fees and fee risk

TitleEquity Lending Market condition and Stock Price crashes: evidence from lending fees and fee risk
Authors
Issue Date2016
Citation
The 27th CEPR European Summer Symposium in Financial Markets (ESSFM 2016), Gerzensee, Switzerland, 18-29 July 2016. How to Cite?
AbstractWe 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.
DescriptionESSFM 2016 Asset Pricing Informal Evening Sessions
Persistent Identifierhttp://hdl.handle.net/10722/232974

 

DC FieldValueLanguage
dc.contributor.authorLin, TC-
dc.contributor.authorChang, EC-
dc.contributor.authorMa, X-
dc.date.accessioned2016-09-20T05:33:43Z-
dc.date.available2016-09-20T05:33:43Z-
dc.date.issued2016-
dc.identifier.citationThe 27th CEPR European Summer Symposium in Financial Markets (ESSFM 2016), Gerzensee, Switzerland, 18-29 July 2016.-
dc.identifier.urihttp://hdl.handle.net/10722/232974-
dc.descriptionESSFM 2016 Asset Pricing Informal Evening Sessions-
dc.description.abstractWe 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.languageeng-
dc.relation.ispartofCEPR European Summer Symposium in Financial Markets, ESSFM 2016-
dc.titleEquity Lending Market condition and Stock Price crashes: evidence from lending fees and fee risk-
dc.typeConference_Paper-
dc.identifier.emailLin, TC: chunlin@hku.hk-
dc.identifier.emailChang, EC: ecchang@hku.hk-
dc.identifier.emailMa, X: xrma@business.hku.hk-
dc.identifier.authorityLin, TC=rp01077-
dc.identifier.authorityChang, EC=rp01050-
dc.identifier.hkuros265917-

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