【论文速递】2022-JF-There a Risk Premium in the Stock Lending Market? Evidence from Equity Options

【论文原文】：Is There a Risk Premium in the Stock Lending Market? Evidence from Equity Options

【作者信息】：DMITRIY MURAVYEV, NEIL D. PEARSON, and JOSHUA M. POLLET. (2022). Is There a Risk Premium in the Stock Lending Market? Evidence from Equity Options[J].The Journal of Finance

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https://doi.org/10.1111/jofi.13129

博主关键词：风险溢出 股票市场

摘要：

Recent research argues that uncertainty about future stock borrowing fees hinders short-selling, and this risk explains the performance of short strategies. One possible mechanism is that borrowing fee risk carries a risk premium. Since the present value of the uncertain borrowing fee is reflected in options prices, the difference between option-implied and realized fees estimates this premium. We find that the risk premium is small. Moreover, if the risk premium is substantial, it should be reflected in the returns to short-selling stock after adjusting for stock borrowing fees. However, borrowing fee risk does not predict fee-adjusted returns.