Short-selling restrictions and returns: a natural experiment

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dc.contributor.authorMARCO ANTONIO CESAR BONOMO
dc.contributor.authorJOÃO MANOEL PINHO DE MELLO
dc.contributor.authorMota, Lira
dc.coverage.paisNão Informadopt_BR
dc.creatorMota, Lira
dc.date.accessioned2022-12-16T20:39:03Z
dc.date.available2022-12-16T20:39:03Z
dc.date.issued2017
dc.description.notesTexto completopt_BR
dc.description.otherWe estimate the causal impact of short-selling restrictions on returns. We take advantage of a unique dataset and exploit a source of exogenous variation in loan fees provided by a tax-arbitrage opportunity that existed in Brazil from 1995-2015. The tax-arbitrage oppor tunity stems from the fact that domestic mutual funds were exempted from income taxes on dividends received by stocks they borrowed, whereas the original owner would be taxed if she did not lend out the stock. Because we observe all equity loan transactions and transacting parts investor identity, we can distinguish equity lending motivated by tax-arbitrage from speculative transactions according to the borrower-lender match. We show that the loan fee on tax-motivated transactions is a source of exogenous variation to estimate the causal impact of the (endogenous) loan fee on stock prices. We nd that increases in stock loan fees have strong impact on stock prices.pt_BR
dc.format.extent41 p.pt_BR
dc.format.mediumDigitalpt_BR
dc.identifier.urihttps://repositorio.insper.edu.br/handle/11224/5018
dc.language.isoInglêspt_BR
dc.rights.licenseO INSPER E ESTE REPOSITÓRIO NÃO DETÊM OS DIREITOS DE USO E REPRODUÇÃO DOS CONTEÚDOS AQUI REGISTRADOS. É RESPONSABILIDADE DOS USUÁRIOS INDIVIDUAIS VERIFICAR OS USOS PERMITIDOS NA FONTE ORIGINAL, RESPEITANDO-SE OS DIREITOS DE AUTOR OU EDITORpt_BR
dc.subject.keywordsNão informadopt_BR
dc.titleShort-selling restrictions and returns: a natural experimentpt_BR
dc.typeworking paper
dspace.entity.typePublication
local.subject.cnpqCiências Sociais Aplicadaspt_BR
local.typeWorking Paperpt_BR
relation.isAuthorOfPublicationd54ec806-4e91-4f4f-8724-e3a23d67b3aa
relation.isAuthorOfPublication6e3d1f3d-a3fc-4951-8adc-af602f1343d2
relation.isAuthorOfPublication.latestForDiscovery6e3d1f3d-a3fc-4951-8adc-af602f1343d2

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