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Erscheinungsjahr: 
2024
Schriftenreihe/Nr.: 
Deutsche Bundesbank Discussion Paper No. 08/2024
Verlag: 
Deutsche Bundesbank, Frankfurt a. M.
Zusammenfassung: 
Using microdata on stock-level lending positions from German mutual funds, we show that active funds use the equity lending market to obtain information about short sale demand. Funds reduce long positions in response to these demand signals, which allows fund managers to front-run public disclosure of big short positions and avoid future losses. Fund managers exploit this information advantage across funds they manage, but do not share it within their fund family, consistent with short demand signals providing an information advantage. Our results suggest a new motive for securities lending and an information aggregation role for the equity lending market.
Schlagwörter: 
Equity lending markets
mutual funds
short sales
short interest
price revelation
public disclosure
JEL: 
G10
G12
G14
G18
ISBN: 
978-3-95729-981-9
Dokumentart: 
Working Paper
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