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The cost of short-selling liquid securities
Standard models of liquidity argue that the higher price for a liquid security reflects the future benefits that long investors expect to receive. We show that short-sellers can also pay a net liquidity premium if their cost to borrow the security is higher than the price premium they collect from selling it. We provide a model-free decomposition of the price premium for liquid securities into the net premiums paid by both long investors and short-sellers. Empirically, we find that short-sellers were responsible for a substantial fraction of the liquidity premium for on-the-run Treasuries from November 1995 through July 2009..Printed Journal, baca ditempat
Ketersediaan
| Call Number | Location | Available |
|---|---|---|
| JOF6802 | PSB lt.dasar - Pascasarjana | 1 |
| Penerbit | : Wiley Periodicals |
|---|---|
| Edisi | - |
| Subjek | - |
| ISBN/ISSN | 221082 |
| Klasifikasi | - |
| Deskripsi Fisik | - |
| Info Detail Spesifik | - |
| Other Version/Related | Tidak tersedia versi lain |
| Lampiran Berkas | Tidak Ada Data |