Fund Performance and Equity Lending: Why Lend What You Can Sell?

被引：22

作者：

Evans, Richard ^{[1
]}

Ferreira, Miguel A. ^{[2
]}

Prado, Melissa Porras ^{[2
]}

机构：

[1] Univ Virginia, Darden Sch Business, Charlottesville, VA 22903 USA

[2] Nova Sch Business & Econ, Lisbon, Portugal

来源：

REVIEW OF FINANCE | 2017年 / 21卷 / 03期

基金：

欧洲研究理事会;

关键词：

Mutual funds; Index funds; Performance; Security lending; SHORT-SALE CONSTRAINTS; MUTUAL FUNDS; STOCK RETURNS; CROSS-SECTION; MARKET; INDUSTRY; NEWS; ANNOUNCEMENTS; INFORMATION; STRATEGIES;

D O I：

10.1093/rof/rfw059

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

The dramatic increase in the percentage of mutual funds lending equities suggests that lending fees are an increasingly important source of income for investment advisors. We find that funds that lend equities underperform otherwise similar funds in spite of lending income. The effect of lending is concentrated in funds that cannot act on the short-selling signal due investment restrictions set by the fund family to diversify their fund offerings across styles. Our findings suggest that the family organization explains why fund managers lend, rather than sell, stocks with short selling demand.

引用

页码：1093 / 1121

页数：29

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