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SUMMARY:Short-Selling Restrictions and Returns: a Natural Experiment - Pro
 fessor Marco Bonomo\, Insper
DTSTART:20180308T124500Z
DTEND:20180308T134500Z
UID:TALK97273@talks.cam.ac.uk
CONTACT:CERF/CF Admin
DESCRIPTION:We estimate the causal impact of short-selling restrictions on
  stock returns. We take advantage\nof a unique dataset and exploit a sourc
 e of exogenous variation in loan fees provided by\na tax-arbitrage opportu
 nity that existed in Brazil from 1995-2014. The tax-arbitrage opportunity\
 nstemmed from the fact that domestic investment funds were exempted from i
 ncome\ntaxes on dividends received by stocks they borrowed\, whereas the o
 riginal owner would be\ntaxed if she did not lend out the stock. Because w
 e observe all equity loan transactions\, including\nthe investor type\, we
  can distinguish between equity lending transactions motivated\nby tax-arb
 itrage from those with the purpose of short-selling the stock. Variation i
 n loan\nfees on tax-motivated transactions are a source of exogenous varia
 tion in borrowing fees in\nshort-selling transactions\, which allows us to
  estimate the causal impact of the loan fees on\nstock prices. We find tha
 t increases in stock loan fees have strong impact on stock prices.\n
LOCATION:KH107(Keynes House)\, Cambridge Judge Business School\, Universit
 y of Cambridge
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