Securities lending, shorting, and pricing

By Darrell Duffie, Nicolae Gârleanu, Lasse Heje Pedersen. 2002

658 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/a731fbbe1e0e2c0895aa833f3483b89adaac2302

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Citations in the corpus

Liquidity and Asset Prices (2005, positive): “Duffie et al. (2002) consider a model in which shortsellers must search for lendable securities, and must negotiate the lending fee with the lender, thus capturing the real-world OTC institution for shortselling.”
Game On: Social Networks and Markets (2021, background): “Eaton et al. (2021) exploit platform outages for the broker used by many GameStop traders, Robinhood, to identify the causal effects of retail traders on financial markets.”
Valuation in Over-the-Counter Markets (2006, neutral): “A search-based theory of securities lending is developed in Duffie, Gârleanu, and Pedersen (2002).”
Cash Flow Duration and the Term Structure of Equity Returns (2018, positive): “A lower level of stock loan supply therefore implies tighter short-sale constraints due to higher search cost (see Duffie, Gârleanu, and Pedersen (2002)).”
Speculative Trading and Stock Prices: Evidence from Chinese A-B Share Premia (2005, background): “This is because when investors are risk averse, a larger asset float implies that it takes a greater divergence in beliefs for asset owners to resell their shares at a given price in the future.(19) On the other hand, hypothesis 3 suggests that share turnover is positively related to asset float if ”
Option Strategies: Good Deals and Margin Calls (2009, neutral): “Our main tests are conducted using data provided by the Institute for Financial Markets for American options on S&P 500 futures traded at the Chicago Mercantile Exchange.”
In Short Supply: Short Sellers and Stock Returns (2015, neutral): “Second, Prado (2015) employs DXL data to test the Duffie et al. (2002) hypothesis that security prices incorporate expected future security lending income.”
Market liquidity and funding liquidity (2009, neutral): “to Grossman and Miller (1988) with the additional funding constraint. We complement this literature by endogenizing the funding of intermediaries, including the determination of margins, and linking this funding problem to a unified explanation for the time variation and cross-sectional variation of”
Go Down Fighting: Short Sellers vs. Firms (2012, background): “…(1978) construct a model with rational investors where differences of opinion, together with short sale constraints, create a " speculative premium " in which stock prices are higher than even the most optimistic investor's assessment of their value (see also Duffie, Garleanu, and Pedersen 2002).”
Risk and Return in Fixed Income Arbitrage: Nickels in front of a Steamroller? (2006, positive): “In some situations, a Treasury bond can trade special in the sense that the cost of shorting the bond can increase to 50 or 100 basis points or more temporarily (see Duffie (1996), Duffie, Gârleanu, and Pedersen (2002), and Krishnamurthy (2002)).”