The Term Structure of Securities Lending Fees

  • I jointly estimate the term structure of implied securities lending fees and implied volatility from options
  • The implied lending fees co-vary with the spot fee, but include a premium indicative of large, low-probability jump risk
  • Median lending fee risk premium of 2% per annum, but much higher for hard-to-borrow stocks and shorter maturities
  • Close to two-thirds of the risk premium can be predicted using the term structure of implied lending fees
  • Evidence that the lending fee term structure might be more useful to model than the volatility term structure

Working Papers

Snakes and Ladders: Asset Pricing with Household Disaster

Presented at Vanderbilt University and the Southern Finance Association meeting 2016

Does Market Incompleteness Matter for Market Microstructure?

with Ekkehart Boehmer and Abraham Lioui | Revision coming soon Presented at EDHEC Business School, Vanderbilt University, the 2013 French Inter Business School seminar, the 2013 Affi conference, and the 2013 Econometric Society European Meeting

Asset Prices and the Probability of Collective Action on Climate Change

with Martina K. Linnenluecke, Tom Smith and Robert E. Whaley

Passive Investing: The Potential Profitability of Securities Lending

with Jesse Blocher and Robert E. Whaley | Revision coming soon

Work in Progress

Option Pricing with Shorting Costs

with Robert E. Whaley

Money and Asset Prices: A Household Perspective

with Abraham Lioui and Olesya V. Grishchenko