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• W2510189114 abstract "I present a dynamic model of short selling when the security borrowing for the short sale is restricted by search frictions. I analyze the case where short-selling demand is driven by hedging needs and contrast it with the case when short-selling demand arises from arbitrageur activity. Frictions lead to security borrowing fees and price premia arise from expected future fees in both cases. However, in the former, price premia are lower than the value of observed future borrowing fees. The Due(1996) result that prices exactly incorporate all future lending fees arises as a special case in the latter. The model features heterogeneity in the extents to which holders participate in repo markets, and explains why securities become “harder to locate” when the short interest is high. I apply the theoretical results to a time-series of repo-market fees and price premia in “on-the-run” U.S. treasury securities and show that repo fees in Treasury securities are primarily driven by hedging needs of short-sellers, rather than arbitrage activity. Additionally, I am able to match the dynamics of auction-cycle related patterns in prices and repo fees. I also show that the hedging benefits implied by specialness in U.S. treasuries are related to economy-wide risk factors, such as the return on the Fama-French book-to-market portfolio, the level of interest rates and the slope of the term-structure." @default.
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• W2510189114 date "2007-01-01" @default.
• W2510189114 modified "2023-09-24" @default.
• W2510189114 title "Are security lending fees priced? Theory and evidence from the U.S. treasury market" @default.
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