The cost of short-selling liquid securities

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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

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Ketersediaan

Call Number	Location	Available
JOF6802	PSB lt.dasar - Pascasarjana	1

Informasi Detail

Judul Seri

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No. Panggil

JOF6802

Penerbit

: Wiley Periodicals.,

Deskripsi Fisik

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Bahasa

ISBN/ISSN

221082

Klasifikasi

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Tipe Isi

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Tipe Media

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Tipe Pembawa

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Edisi

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Subjek

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Info Detail Spesifik

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Pernyataan Tanggungjawab

pa

Versi lain/terkait

Lampiran Berkas

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