时 间：2024年12月12日（周四）9：30-11：30
地 点：普陀校区理科大楼A1114
题 目：ETF Loan Market: Causes and Consequences of High ETFs Lending Fees
主讲人：赵武阳 副教授
主持人：连立帅 副教授
主讲人简介：
赵武阳，加拿大麦吉尔大学 Desautels 管理学院会计学长聘副教授， 2017 年获得多伦多大学会计学博士学位，2013年获得复旦大学管理学博士学位；主要研究领域是资本市场中卖空和金融分析师，研究成果发表在《会计与经济学杂志》（Journal of Accounting and Economics）、管理科学（Management Science）和《会计研究评论》（Review of Accounting Studies）等顶级会计期刊上，并被《纽约时报》（New York Times）、彭博社（Bloomberg）和路透社（Reuters）等主流媒体引用。
摘 要：
We find that exchange-traded fund (ETF) lending fees are significantly higher than individual stocks. Although the create-to-lend (CTL) mechanism helps alleviate supply constraints when borrowing demand rises, its effectiveness is hampered by various costs and frictions, including the lack of competition among authorized participants (APs), hedging challenges inherent to the CTL process, and the costs and frictions associated with creating ETFs. These limitations contribute to elevated ETF lending fees (i.e., outside lending) and notably impact the stock lending market (i.e., inside lending). Specifically, increased short selling through cheaper-to-borrow ETFs can exert downward pressure on stock lending fees. Our findings highlight the constraints on arbitrage opportunities within ETF markets.