<p>Stock lending is primarily a professional activity. The supply of stocks in the lending market comes mainly from pension funds and insurance companies, while intermediaries provide valuable services by taking positions as borrowers as well as lenders. Borrowers use stock lending for various reasons. For instance, hedge funds usually borrow stocks to cover a short position. There has been a lot of controversy in the stock lending industry and the debate has mainly concerned its effects for the stock markets. The objective of this thesis is to describe the Swedish stock lending market by analyzing the historical development from 1995 to 2006. Securities lending has increased enormously in recent years and our aim is to explore what has contributed to this positive development by describing the different perspectives in the stock lending market – lender, borrower, intermediary and the Swedish Securities Dealers Association. Our conclusion is that the number of stocks on loan per week is showing a 977 percent growth between 1995 and 2006. The correlation between the number of shares on loan and its market value is highly positive during the period of study, except for 2002. The stock lending market is a legitimate investment activity which plays an important role in supporting efficient markets. According to our data stock lending supports hedging activities, accelerates price corrections in overvalued stocks and facilitates liquidity in capital markets.</p>

Stock lending is primarily a professional activity. The supply of stocks in the lending market comes mainly from pension funds and insurance companies, while intermediaries provide valuable services by taking positions as borrowers as well as lenders. Borrowers use stock lending for various reasons. For instance, hedge funds usually borrow stocks to cover a short position. There has been a lot of controversy in the stock lending industry and the debate has mainly concerned its effects for the stock markets. The objective of this thesis is to describe the Swedish stock lending market by analyzing the historical development from 1995 to 2006. Securities lending has increased enormously in recent years and our aim is to explore what has contributed to this positive development by describing the different perspectives in the stock lending market – lender, borrower, intermediary and the Swedish Securities Dealers Association. Our conclusion is that the number of stocks on loan per week is showing a 977 percent growth between 1995 and 2006. The correlation between the number of shares on loan and its market value is highly positive during the period of study, except for 2002. The stock lending market is a legitimate investment activity which plays an important role in supporting efficient markets. According to our data stock lending supports hedging activities, accelerates price corrections in overvalued stocks and facilitates liquidity in capital markets.

Short selling is important for price efficiency as it helps negative information to be incorporated into prices. As short selling requires borrowing stock in advance, the equity lending market plays a central role in price efficiency. For instance, when the costs of borrowing certain equities are high, these stocks are likely to be overpriced. Unfortunately, not much is known about the equity lending market, particularly the Brazilian market. Here, we have investigated a particular feature of the equity lending contract, namely, the lender recall option. Lending contracts either i) allow the lender to recall the stock at an earlier date than initially agreed, or ii) allow no early recall, that is, they are fixed term contracts. We have derived a simple model for recall option pricing and confirmed the model empirically / A venda descoberta desempenha uma importante participação na eficiência da precificação de ativos, pois permite incorporar informações negativas aos seus preços. Como a venda descoberta requer que um ativo seja alugado previamente, o mercado de aluguel de ativos tem um papel central na formação eficiente de preços. Por exemplo, quando os custos de aluguel são altos, ativos estão provavelmente sobrevalorizados. Infelizmente pouco se conhece a fundo sobre o mercado de aluguel de ativos. Neste artigo, investigamos uma característica do aluguel de ações, propriamente dita, a opção de liquidação antecipada pelo doador. Contratos de aluguel, quanto a este aspecto, podem i) permitir que o doador requeira suas ações antes do prazo acordado ou ii) não permitir esta opção, possuindo prazo fixo. Derivamos um modelo simples de precificação desta opção e confirmamos o modelo empiricamente

Short selling is important for price efficiency as it helps negative information to be incorporated into prices. As short selling requires borrowing stock in advance, the equity lending market plays a central role in price efficiency. For instance, when the costs of borrowing certain equities are high, these stocks are likely to be overpriced. Unfortunately, not much is known about the equity lending market, particularly the Brazilian market. Here, we have investigated a particular feature of the equity lending contract, namely, the lender recall option. Lending contracts either i) allow the lender to recall the stock at an earlier date than initially agreed, or ii) allow no early recall, that is, they are fixed term contracts. We have derived a simple model for recall option pricing and confirmed the model empirically / A venda descoberta desempenha uma importante participação na eficiência da precificação de ativos, pois permite incorporar informações negativas aos seus preços. Como a venda descoberta requer que um ativo seja alugado previamente, o mercado de aluguel de ativos tem um papel central na formação eficiente de preços. Por exemplo, quando os custos de aluguel são altos, ativos estão provavelmente sobrevalorizados. Infelizmente pouco se conhece a fundo sobre o mercado de aluguel de ativos. Neste artigo, investigamos uma característica do aluguel de ações, propriamente dita, a opção de liquidação antecipada pelo doador. Contratos de aluguel, quanto a este aspecto, podem i) permitir que o doador requeira suas ações antes do prazo acordado ou ii) não permitir esta opção, possuindo prazo fixo. Derivamos um modelo simples de precificação desta opção e confirmamos o modelo empiricamente

<p>  </p> <p>In the first chapter, we developed a dynamic equilibrium model of multiple stocks with extrapolators under the framework of Barberis, Greenwood, Jin, and Shleifer (2015a). Our model builds on the fact that extrapolative investors assign different relative weights of recent versus distant past return when forming their beliefs. We find that stock price increases in its own past performance measure, and is additionally associated with the past performance measure of the other stock if their dividends are correlated. The stock with higher relative weight have higher stock price, higher stock volatility, and lower risk premium. Both the own stock’s and the other stock’s past performance measure negatively predicts future stock price changes. </p> <p><br></p> <p>The second chapter includes Adem Atmaz, Stefano Cassella, and Huseyin Gulen as co-authors. In this chapter, we document considerable cross-sectional variation in survey expectations about aggregate stock market returns. While most investors are extrapolators who expect higher returns after a good market performance, some are contrarians who expect lower returns after a good performance. More notably, compared to extrapolators, contrarians have less persistent expectations that are corrected more quickly. Accordingly, we develop a dynamic equilibrium model accounting for these differences in expectations and find that the equilibrium stock price exhibits short-term momentum and long-term reversal as in the data. Furthermore, we test the key predictions of the model linking the shortterm momentum to observable differences between extrapolators and contrarians and find supportive evidence for our mechanism. </p> <p><br></p> <p>The third chapter includes Adem Atmaz and Suleyman Basak as co-authors. In this chapter, we develop a dynamic model of costly stock short-selling and lending market and obtain implications simultaneously supporting many empirical regularities. In our model, investors’ belief disagreement leads to lenders and short-sellers, who pay shorting fees to borrow stocks from lenders. Our main novel results are as follows. Short interest predicts future stock returns negatively and has a stronger predictive power than the corresponding dividend-price ratio. Higher short-selling risk can be associated with lower stock returns and less short-selling activity. Stock volatility is increased under costly short-selling. An application to the GameStop episode yields implications consistent with observed patterns. </p>

Submitted by Geandra Rodrigues (geandrar@gmail.com) on 2018-04-10T11:18:47Z No. of bitstreams: 1 alinebarretodossantos.pdf: 2986654 bytes, checksum: 62b435ad3742f8ebc90101365fb09182 (MD5) / Approved for entry into archive by Adriana Oliveira (adriana.oliveira@ufjf.edu.br) on 2018-04-10T12:02:48Z (GMT) No. of bitstreams: 1 alinebarretodossantos.pdf: 2986654 bytes, checksum: 62b435ad3742f8ebc90101365fb09182 (MD5) / Made available in DSpace on 2018-04-10T12:02:48Z (GMT). No. of bitstreams: 1 alinebarretodossantos.pdf: 2986654 bytes, checksum: 62b435ad3742f8ebc90101365fb09182 (MD5) Previous issue date: 2018-03-09 / A proposta do estudo foi avaliar os efeitos produzidos pela Lei no 13.043/2014 no mercado de empréstimo de ações que impossibilitou, legalmente, a estratégia de “barriga de aluguel“ por agentes desonerados ao obrigar a retenção de Imposto de Renda (IR) de ações objeto de empréstimo independente da condição tributária do tomador. A hipótese é que a estratégia de arbitragem tributária adotada pelos fundos, ao reterem 15% do valor do Juros sobre Capital Próprio (JCP) devido à condição de desoneração, se constituía em uma fonte de restrição a venda a descoberto e, diante do impedimento dessa, empréstimos de ações serão unicamente utilizados em operações de posições vendidas beneficiando os investidores quanto à redução de taxas de empréstimos e aumento de ações disponíveis para negociação. Utilizou-se de dados do mercado de empréstimo e à vista de ações das empresas listadas na B3 referente aos anos de 2014 e 2015 para estimar o efeito médio da lei pelo Método de Diferenças em Diferenças via regressão de Mínimos Quadrados Ordinários robusto. A base de dados do estudo foi construída a partir de dados de acesso público não sendo possível considerar apenas as negociações realizadas pelo fundos. Mesmo diante dessa restrição, os resultados obtidos indicam que o efeito-lei médio foram significativos e condizente com a teoria para as taxas e volumes do mercado de empréstimo, redução e aumento, respectivamente, em 2015, para ações que distribuíram JCP em 2014. Os resultados das regressões sugerem que a Lei no 13.043/2014 produziu efeitos positivos no mercado de empréstimo de ações como um todo devido à redução das taxas que se refletiu no aumento dos volumes negociados. De outro modo, o efeito médio do novo imposto pode ter sido subestimado por incluir todas as negociações e não apenas dos fundos de investimentos. A contribuição do estudo foi analisar o efeito médio do IR sobre JCP de ações em empréstimo, por meio de base de dados construída a partir de informações de acesso público, sob um prisma tributário do empréstimo de ações. / The purpose of the study was to surveyed the effects of Law no 13.043/2014 on the stock market which made impossible the "barriga de aluguel" strategy. This Law imposed a income tax for the stock borrowing for all takers. The hypothesis is that the funds’s tax arbitrage strategy that retained 15% of the Interest of Own Capital (JCP) due the condition relief’s tax was a short selling’s restriction. So, after the Law, the stock lending will only be used for the short selling. The investors will be benefiting regarding the lending rates’s reduction and the increase of available stocks for trading. We used the market data from the companies listed in B3 of 2014 and 2015 to estimate the law’s mean-effect by Differences in Differences with robust least squares regression. The study database was constructed from public access data and it is not possible to consider only the funds’s negotiations. Even under this restriction the results indicate that the law’s mean-effect was significant because the lending-rates was reducted and lending-volumes was increased in 2015 for the stocks that paied JCP in 2014. The regressions’s results suggest that Law no 13.043/2014 had positive effects on the stock lending market due the reduction in lending-rates reflected in the increase in trading volumes. Otherwise the mean-effect of the new tax may have been underestimated because it included all negotiations and not just investment funds. The contribution of the study was to analyze the mean-effect of IR on stocks lendings that paid JCP in 2014, through a database built from public access information, under a tax prism of the stock lending.

Submitted by João Batista Fraga (fragab@gmail.com) on 2013-04-15T00:50:09Z No. of bitstreams: 1 versao final joao batista fraga.pdf: 2079339 bytes, checksum: 7700dcba3cd9fd143c2d2d505ce0f367 (MD5) / Approved for entry into archive by Suzinei Teles Garcia Garcia (suzinei.garcia@fgv.br) on 2013-04-15T13:07:04Z (GMT) No. of bitstreams: 1 versao final joao batista fraga.pdf: 2079339 bytes, checksum: 7700dcba3cd9fd143c2d2d505ce0f367 (MD5) / Made available in DSpace on 2013-04-15T13:10:28Z (GMT). No. of bitstreams: 1 versao final joao batista fraga.pdf: 2079339 bytes, checksum: 7700dcba3cd9fd143c2d2d505ce0f367 (MD5) Previous issue date: 2013-03-25 / This study investigates the activity of stock lending in Brazil and its connection with short selling. It describes the organization of the market, identifies factors that determine the level of short interest and analyzes the effects on the efficiency of the stock prices. It finds that short-sellers act as contrarians and that the activity is directly related to the trading volume and inversely related to the daily price range. Periods of lock up and stabilization, these after the IPOs, and periods prior to seasoned offers also influence the level of open interest, as well as tax arbitrage that occurs at the time of payment of interest on equity by companies and have disruptive effect on stock prices. Short-sellers position themselves to earn excess returns and prefer stocks with higher betas. It is also shown that the addition of long-short positions to existing investment portfolio would increase returns and reduce market risk. When it comes to market efficiency, the study shows that the prices of stocks with high levels of short interest react more quickly to market movements than those with lower level. The study also contributes with specific recommendations for changes in the regulation and in the operational organization of the activity in Brazil. / Este trabalho investiga a atividade de empréstimo de ações no Brasil e sua conexão com operações de venda a descoberto em bolsa de valores. Descreve a organização do mercado, identifica fatores que determinam o nível de empréstimos e analisa os efeitos na eficiência da formação de preços das ações. Conclui que os vendedores atuam como contrários e que a atividade tem relação direta com o volume de negociação e inversa com a amplitude diária dos preços. Períodos de lock up e estabilização, esses após os IPOs, e o que antecede às ofertas subsequentes também influenciam o saldo de empréstimos, assim como a arbitragem tributária na distribuição, pelas empresas, de juros sobre capital próprio que tem efeito disruptivo sobre os preços das ações. Investidores a descoberto posicionam-se de modo a auferir excesso de retornos negativos e preferem ações com betas mais elevados. Os resultados também demonstram que o acréscimo de posições long-short a portfólio de investimento já existente aumentaria o retorno e reduziria o risco de mercado. Sobre a eficiência do mercado brasileiro, o estudo mostra que os preços das ações com saldos elevados de empréstimos ajustam-se com mais rapidez aos movimentos do mercado do que aquelas com menor saldo. O trabalho contribui, ainda, com recomendações pontuais para alterações da regulação e da organização operacional da atividade no País.

Made available in DSpace on 2016-04-26T20:24:08Z (GMT). No. of bitstreams: 1 Karina Cardozo de Oliveira.pdf: 1521482 bytes, checksum: fdcc90912ef8beb50a1f3eb16e20ec5d (MD5) Previous issue date: 2016-02-03 / The purpose of this study is to present and resolve the main legal issues related to a transaction whose practice is of extreme importance to boost the effervescence and the liquidity of the Brazilian capital markets: the stock lending. Initially, we intended to address the development of such markets, since the beginning until the present moment, in order to have a historical background over the environment that the herein studied transaction integrates. Subsequently, we verified the main concepts related to the shares, which are the object of the stock lending, and concluded that due to the homogeneity of the rights and characteristics of a certain type or class of share, in our view, we may consider them as fungible assets. Such conclusion mattered to the development of our legal nature theory over the stock lending, which we classified as a loan. Further on, we analyzed the main characteristics of the stock lending agreement, in accordance with our civil doctrine, and its establishment as a private agreement and as an agreement registered in BTC system. In this respect, we gave special attention to the stock lending agreement executed under share public offerings. Finally, we verified the impact of the stock lending on the entitlement of shareholders rights the essential rights, the voting right and the right to participate in a public acquisition offering in each type of transaction. We concluded that, in the private agreements, all rights are transferred to the borrower, unless otherwise provided by the agreement entered between the parties. In the registered stock lending, the preemptive right for the subscription of new shares, convertible debentures and subscription bonuses, as well as the right to participate in the company s profits remain with the donor, considering that the BM&FBOVESPA facilitates its exercise. This dissertation integrates the line of research Effectiveness of Private Law and Civil Liberties , developed by the Post-Graduate Program in Law Studies of PUC-SP and the research project Legal Protection of Private Investment / O intuito deste trabalho é apresentar e resolver as principais questões jurídicas envolvendo uma operação cuja prática é de extrema relevância para impulsionar a efervescência e a liquidez do mercado de capitais brasileiro: o empréstimo de ações. Buscamos, inicialmente, abordar o desenvolvimento deste mercado, desde os primórdios até os diais atuais, no intuito de contextualizar o meio em que se insere a operação aqui estudada. Em seguida, verificamos os principais conceitos inerentes às ações, que são, por sua vez, objeto do empréstimo em questão, e concluímos que, em razão da homogeneidade dos direitos e características de uma determinada espécie ou classe de ação, poderíamos, a nosso ver, entendê-las como bens fungíveis. Essa conclusão importou para o desenvolvimento da nossa teoria acerca da natureza jurídica do empréstimo de ações, que foi por nós classificado como um mútuo. Adiante, analisamos as principais características do contrato de empréstimo de ações, de acordo com a doutrina civilista, e a operacionalização tanto na sua forma privada como também registrada no sistema BTC. Nesse sentido, dedicamos especial atenção ao contrato de empréstimo de ações celebrado no âmbito de ofertas públicas de distribuição de ações. Por fim, verificamos o impacto do empréstimo de ações sobre a titularidade dos direitos de acionistas tanto os direitos essenciais, como o direito de voto e o direito de participar em oferta pública de aquisição de ações em cada tipo de operação. Concluímos que, nos empréstimos privados, todos os direitos são transmitidos ao tomador do empréstimo, exceto se houver disposição específica contrária no contrato celebrado entre as partes. Já em relação aos empréstimos registrados, o direito de preferência na subscrição de novas ações, debêntures conversíveis e bônus de subscrição, bem como o direito de participar nos lucros da companhia emissora são mantidos com o doador, uma vez que a BM&FBOVESPA viabiliza o seu exercício. Esta dissertação insere-se na linha de pesquisa Efetividade do Direito Privado e Liberdades Civis , desenvolvida pelo Programa de Estudos Po&#769;s-graduados em Direito da PUC-SP e no projeto de pesquisa Proteção Juri&#769;dica do Investimento Privado