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A Multiple Lender Approach to Understanding
Supply and Search in the Equity Lending Market
ADAM C. KOLASINSKI, ADAM V. REED, and MATTHEW C. RINGGENBERG
ABSTRACT
Using unique data from 12 lenders, we examine how equity lending fees respond to
demand shocks. We nd that, when demand is moderate, fees are largely insensitive
to demand shocks. However, at high demand levels, further increases in demand lead
to signicantly higher fees and the extent to which demand shocks impact fees is also
related to search frictions in the loan market. Moreover, consistent with search mod-
els, we nd signicant dispersion in loan fees, with this dispersion increasing in loan
scarcity and search frictions. Our ndings imply that search frictions signicantly
impact short selling costs.
SHORT SALE CONSTRAINTS MOTIVATE a large body of theoretical research in asset
pricing. In addition, a growing body of empirical work conrms that these
constraints have an economically meaningful impact.
1
Although this research
suggests that short sale constraints are important, relatively few empirical
studies attempt to explain the variation of short sale constraints across stocks,
and even fewer seek to provide a motivation for the origin of these constraints.
Short sale constraints can take many forms, but one of the most important
is the fee that short sellers pay to borrow shares in the equity lending market.
Despite its one trillion dollar size, relatively little is known about this mar-
ket because transactions are usually only visible to the two parties directly
involved.
2
Furthermore, the equity loan databases employed in the existing
(0.01)
S&P price/earnings 0.0387
(0.01)
VIX 0.0005
(0.00)
Firm xed effect Yes
N 642,134
F-test of instruments 2.02
P-value 0.85
R
2
0.02
variables imply that a stock price movement from within the Bollinger bands
to a point above or below them impacts the quantity of lendable shares by a
negligible 0.0012 and 0.0032, respectively. Accordingly, because the candidate
instruments are both statistically and economically insignicant in the falsi-
cation test, we adopt Discretionary Accruals, Short Bollinger, Long Bollinger,
Supply and Search in the Equity Lending Market 575
News Sentiment, and Short-Term Momentum as instruments in the estimation
of the supply curve.
A.2. Estimating the Share Loan Supply Schedule
Using the instruments discussed above, we estimate the share loan supply
curve, which allows us to determine the inuence of short sellers demand for
share loans on specialness and the extent to which increases in loan prices are
related to search frictions. We discuss our estimation procedure in detail below.
To ensure comparability across stocks, we standardize our loan quantity vari-
able. First, we divide quantity by total shares outstanding for each stock. This
removes the effect of stock price on quantity, which would likely be sufcient for
an estimation using market-wide quantity. However, because our lenders hold
only a segment of the quantity of lendable shares of each stock, and because
that segment may vary by stock, we need to further normalize each stocks
quantity. Thus, we standardize each stocks quantity variable by subtracting
the mean and dividing by the standard deviation of each stocks loan quantity
as a percentage of shares outstanding. We denote this standardized value of
share loan quantity by Q.
Next, we need to take into consideration the highly skewed nature of both
quantity and specialness, as well as the probable nonlinearity of the supply
curve. To this end, we employ a trans-log specication in which we model the
started natural log of specialness as a function of the started natural log of
quantity demanded and its square.
12
Greene (1997) notes that this sort of
specication is highly exible and can be interpreted as a second-order ap-
proximation of virtually any smooth functional form. Using the instruments
discussed above, we thus represent the share loan demand and supply sched-
ules as the following limited information system, with the supply schedule (3)
as the identied equation:
LN(Q
it
+C) =
i
+
1
LN(S
it
+D) +
2
Accruals
it
+
3
ShortB
it
+
4
LongB
it
+
5
News
it
+
6
STMom
it
+Controls
it
+
it
(2)
LN(S
it
+ D) =
i
+
1
LN(Q
it
+C) +
2
LN(Q
it
+C)
2
+Controls
it
+
it
, (3)
where C and D are start constants that ensure the log is dened,
13
Q is loan
quantity, S is specialness, Accruals are Discretionary Accruals, ShortB and
LongB are the Short and Long Bollinger indicator variables, News is News
Sentiment, and STMom is Short-Term Momentum, all as dened above. The
Controls vector includes the federal funds rate, long-term(365 day) momentum,
the level of the VIX index, and the P/E ratio of the S&P500. We also employ
12
Since our quantity variable is standardized to make it comparable across stocks, it can take
negative values. Likewise, specialness can be negative. Therefore, as Fox (1997) suggests for right-
skewed variables with negative values, we use the started log transformation of both quantity and
specialness. Our results are not sensitive to the choice of start constant.
13
We use start constants C = 10 and D = 1, but our results are not sensitive to different values.
576 The Journal of Finance
R
Table IV
First-Stage Estimation of the Share Loan Supply Curve
Table IV presents the rst-stage results from a two-stage instrumental variables panel data re-
gression of daily data over the period September 26, 2003 to December 31, 2007. The excluded
instruments are discussed in Section III.A of the text and, because there are two endogenous re-
gressors (the started log quantity and its square), there are two rst-stage regressions. Firm xed
effects are included in all models. The F-statistic tests the null of weak identication. Robust stan-
dard errors clustered by rm and date are shown below the parameter estimates in parentheses.
0.2395
(0.00) (0.19)
Long Bollinger 0.0004 0.0575
(0.00) (0.05)
News sentiment 0.0101
1.4461
(0.01) (1.15)
Short-term momentum 0.0216
3.0968
(0.01) (2.46)
(Quantity +C)
2
32.2487
(24.78)
Federal funds rate 0.0024
0.3487
(0.00) (0.28)
Long-term momentum 0.0018 0.2544
(0.00) (0.20)
S&P price/earnings 0.0140 2.0318
(0.01) (1.62)
VIX 0.0030
0.4298
(0.00) (0.34)
Firm xed effect Yes Yes
N 508,744 508,744
F-test of excluded instruments 5.50
5.52
n=1
n+2
Control
n,i,t
+FE
i
+
it
,
where
LN(Q+C) and
LN(Q+C)
2
are the tted values from the rst-stage regressions shown in
Table IV. Results below use C = 10 and D = 1, but are unchanged if we use other start constants.
Federal Funds Rate is the effective federal funds rate as reported by the H.15 statistical release,
Long-Term Momentum is the natural log of the one-year momentum factor as in Carhart (1997),
S&P Price/Earnings is the natural log of the S&P500 price to earnings ratio for the preceding
month, and VIX is the rolling mean value of the CBOE volatility index for the S&P500 over the
preceding 22 trading days. All variables are measured over the period September 26, 2003 to
December 31, 2007. Firm xed effects are included in all models and estimation is done using
three different estimators (2SLS, Fuller, and LIML). Robust standard errors clustered by rm and
date are shown below the parameter estimates in parentheses.
indicates signicance at the 1%
level,
indicates signicance at the 5% level, and
indicates signicance at the 10% level.
Estimation Method
Explanatory Variable (1) 2SLS (2) Fuller (3) LIML
LN(Quantity + C) 295.6990
403.3024
411.4129
83.8573
85.5697
0.1091
0.1107
0.1736
0.1764
0.0185 0.0186
(0.01) (0.01) (0.01)
Firm xed effect Yes Yes Yes
N 508,744 508,744 508,744
Kleibergen-Paap rK LM statistic 25.263 25.263 25.263
P-value 0.0001 0.0001 0.0001
Cragg-Donald Wald F-statistic 10.394 10.394 10.394
Sargan-Hansen statistic 5.885 3.721 3.606
P-value 0.2079 0.4451 0.4619
As can be seen in Table V, the log of quantity and its square are strongly
signicant in all specications, implying that exogenous shifts in quantity de-
manded impact specialness. Note that the parameters are qualitatively simi-
lar across the three different estimation methods. Moreover, the specications
tests shown in Tables IV and V indicate that our instruments satisfy the ex-
clusion restrictions and that weak instrument bias is not a concern.
To examine the economic signicance of these results, Figure 3 plots the
supply curve for the average stock as implied by our two-stage least squares
parameter estimates. Consistent with the nding in Christoffersen et al. (2007)
578 The Journal of Finance
R
-10.0
0.0
10.0
20.0
30.0
40.0
50.0
60.0
70.0
80.0
-0.8 -0.2 0.3 0.9 1.5 2.1 2.7 3.3 3.9 4.5
S
p
e
c
i
a
l
n
e
s
s
Standardized Loan Quantity
Figure 3. The share loan supply curve. Figure 3 shows the price of borrowing a share (Spe-
cialness) as a function of the quantity (Standardized Loan Quantity) using the coefcient estimates
shown in Table V. Standardized Loan Quantity is the quantity of shares borrowed divided by the
number of shares outstanding, demeaned and normalized by the standard deviation to account for
persistent differences in loan quantities across securities. Specialness, in basis points, is a measure
of the cost of borrowing a stock and is calculated as the difference between the rebate rate for a
specic loan and the prevailing market rebate rate. The rebate rate for an equity loan is the rate at
which interest on collateral is rebated back to the borrower. Details on the supply curve estimation
technique are presented in Section III.A of the text. The gure displays the results from a 2SLS
regression of LN(Specialness + D) as a function of LN(Standardized Loan Quantity + C), where
C and D are start constants suggested by Fox (1997) to ensure the LN function is dened for all
observations. Results are shown for C = 10 and D = 1, but the results are not sensitive to start
constant values. We retransform the estimates to display Specialness as a function of Standard-
ized Loan Quantity. The gure is plotted between the 1st and the 99th percentiles of Standardized
Loan Quantity.
that lending fees are relatively unresponsive to increases in quantity, the sup-
ply curve is at throughout most of the distribution. However, Figure 3 shows
that at lowand high quantity levels, the curve exhibits a U-shape. At lowlevels
of quantity the curve exhibits a slight downward slope, consistent with xed
lending costs and volume discounting. On the other hand, at high levels of quan-
tity the curve exhibits a steep upward slope, consistent with the search cost
hypothesis and the ndings of Cohen, Diether, and Malloy (2007). As shown in
Figure 3, a one standard deviation increase from the third to fourth standard
deviation of quantity is associated with a movement in abnormal loan fees from
3.2 basis points to 21.7 basis points. Thus, the results help reconcile seemingly
contradictory ndings in the extant literature regarding the existence of both
small and large effects of shifts in demand on price, and provide new evidence
that search costs give equity lenders the ability to charge higher prices.
Supply and Search in the Equity Lending Market 579
A.3. Cross-Sectional Patterns in Supply Curves
Given our ndings above about the shape of the share loan supply curve, we
next examine the importance of search costs in determining the supply curves
shape. Specically, we compare the shape of the supply curve for subsamples
of stocks likely to have different search costs. DGP suggest that search costs
are likely to be higher for small rms and illiquid rms, so we use Market Cap-
italization and Bid-Ask Spread, both calculated using daily data from CRSP,
as two of the measures on which we create subsamples. Interestingly, rm size
and liquidity may also affect the shape of the supply curve under alternative
explanations, so these two variables do not provide sharp distinctions between
possible explanations.
We also use two search cost proxies related to the structure of the equity
lending market that take advantage of the richness of our multiple lender
data set. If nding lenders is costly, and smaller lenders are more difcult
to nd than large lenders, we expect search costs to be higher in equity loan
markets that tend to be fragmented among many small lenders. Unlike size
and liquidity, these proxies give us more traction in distinguishing various
possible explanations, which we more fully discuss in Section III.C.
The rst of our market structurerelated search cost proxies is based on loan
volume concentration. In the DGP model, agents are randomly matched with
search intensity and, all else equal, a lower search intensity leads to higher
loan fees because it is more costly for agents to match. In practice, if the loan
market is highly fragmented and no lender holds a signicant amount of shares,
it is likely that matching will be costlier. Accordingly, for each stock and each
week, we compute the total loan volume for each lender as a fraction of shares
outstanding and we use this measure to compute a Herndahl index.
15
Next
we compute the time-series average of this index for a given stock and refer
to it as Lender Volume Concentration. Small values of this variable indicate
that, for a typical week, lending in a given stock tends to be disbursed among
many lenders with low volume, suggesting the market tends to be fragmented
among many lenders with low levels of volume. If search costs are important in
this market, and search costs play a role in shaping the supply curve, then we
expect low values of Lender Volume Concentration to be associated with higher
supply curve slope coefcients.
Our second market structurerelated search cost proxy is based on the num-
ber of lenders active in a stock on a typical week as well as a proxy for lender
size. To construct this measure, for each stock we compute the time-series
average loan size of each lender (as a percentage of shares outstanding) and
compare it to the average loan size across all lenders in the stock. If a lenders
average loan size is smaller than the average for all lenders in the stock, we
refer to that lender as small. Otherwise the lender is large. Next, for each
stock week, we count the number of small and large lenders and take the
time-series averages for the stock and label these averages as Number Small
15
We compute the index by week instead of by day because some stocks have many days for
which there is very little trading activity.
580 The Journal of Finance
R
Lenders and Number Large Lenders, respectively. The number of small lenders
thus measures the extent to which a stocks share loan market tends to be
fragmented among many lenders with smaller-than-average volume. If search
costs play an important role in shaping the supply curve, we expect the slope
of the curve to be larger when Number Small Lenders is higher. On the other
hand, if large lenders are easier to nd, we expect search costs to be lower when
Number Large Lenders is high.
To test whether the shape of the supply curve is different for rms with dif-
ferent search cost characteristics, we compute the sample medians of Market
Capitalization, Bid-Ask Spread, Lender Volume Concentration, Number Small
Lenders, and Number Large Lenders. For each of these characteristics, we then
create two subsamples of stocks: low and high, where the low (high) subsample
includes all rms with values below (above) the median of the relevant charac-
teristic. We then reestimate the supply curve, allowing its parameters to differ
across subsamples, and then conduct Wald tests of the null hypothesis that
they do not differ.
The results are reported in Table VI . We nd that the parameters of the
supply curve are statistically different for all measures of search costs, includ-
ing Market Capitalization, Bid-Ask Spread, Lender Volume Concentration, as
well as Number Small Lenders, and Number Large Lenders. Consistent with
the search cost hypothesis, we nd that the coefcient on the quantity squared
term is larger, and hence the supply curve is more steeply upward sloping,
when rms are smaller, when rms are less liquid, and when rms loan vol-
ume is dispersed among many lenders. Interestingly, whereas the results in
Panels A, B, and C strongly support the search cost hypothesis, the results
in Panels C and D are generally weaker. For both Number Small Lenders and
Number Large Lenders, the curves are economically similar across subsamples.
Thus, the results in Table VI generally support the search cost hypothesis,
though not all search cost proxies appear to inuence the shape of the supply
curve.
B. Industrial Organization, Search Costs, and the Equity Loan Market
DGP describe the prevalence of search frictions in the opaque equity lend-
ing market, and in the previous section we present evidence that search fric-
tions inuence the shape of the equity loan supply curve. In this section, we
further examine the role of search costs in the equity loan market by ex-
amining them in light of the industrial organization literature on sequen-
tial search costs. First, in Subsection B.1 we use panel data regressions to
conrm that loan fee dispersion is associated with various proxies for search
frictions as well as the average level of fees. This result conrms the predic-
tion of sequential search models that price dispersion is positively associated
with search frictions. Then, in Subsection B.2, we explore in greater depth
how the loan fee level, or specialness, is a function of the dispersion in loan
fees.
Supply and Search in the Equity Lending Market 581
Table VI
Sensitivity of Share Loan Supply Curve to Firm Characteristics and
Search Cost Proxies
Table VI presents second stage results from six different panel data regressions that estimate the
share loan supply curve. In each panel, we examine the impact that a rmcharacteristic has on the
supply curve by creating two subsamples of stocks, low and high, where the low (high) subsamples
include all rms with values below (above) the median value of the relevant rm characteristic. We
then jointly estimate the supply curve for the low and high subsamples, allowing the parameters
to differ across subsamples, and conduct a Wald test of the null that the subsamples do not differ.
The table displays the results for the LN(Quantity +C) and LN(Quantity +C)
2
parameters for the
low and high rm characteristic subsamples. Market Cap is the average market capitalization for
each rm from CRSP. Bid-Ask Spread is the average bid-ask spread for each stock calculated using
the closing mid-price on each day. Volume Concentration is a Herndahl index using each lenders
daily volume in a stock. # Small (Large) Lenders is the mean number of small (large) lenders that
dealt in a particular stock each week. Capacity Concentration is a Herndahl index using each
lenders maximum possible loan volume in a stock. Robust standard errors clustered by rm and
date are shown below the parameter estimates in parentheses.
indicates signicance at the 1%
level,
indicates signicance at the 5% level, and
indicates signicance at the 10% level.
Subsample LN LN Test Low Firm Fixed
Denition (Qty + C) (Qty + C)
2
versus High Effect N
Panel A: Market Capitalization
Low market cap 232.5745
48.8247
27.60
38.2192
(33.49) (7.23)
Panel B: Bid-Ask Spread
Low bid-ask spread 156.1564
30.6390
18.97
49.4966
(72.94) (15.48)
Panel C: Lender Volume Concentration
Low volume conc. 211.6295
44.2605
19.61
29.0247
(30.28) (6.45)
Panel D: Number Small Lenders
Low # small 249.2926
51.4099
12.29
40.6479
29.1954
26.11
35.9402
62.2386
5.58
conc. (119.48) (25.28) (0.47) Yes 507,492
High capacity 328.9796
66.4139
1.2514
0.3550
0.2875
0.8873
0.0293
0.2007
0.0312
(0.00) (0.00)
Number of large lenders 0.0326
0.0309
(0.00) (0.00)
Volume concentration 0.4526
0.1791
0.0931
1.7957
(0.23) (0.23)
Vol. conc. special dummy 1.1997
1.2063
(0.23) (0.23)
Agent andbrokers dummy 0.0812
0.0927
(0.01) (0.01)
Agent and direct lenders
dummy
0.0446
0.0630
(0.02) (0.02)
Broker and direct lenders
dummy
0.0233
0.0073
(0.01) (0.01)
All three lender types
dummy
0.0489
0.0229
(0.01) (0.02)
Time xed effect Yes Yes Yes Yes Yes
N 118,280 118,280 118,280 118,280 118,280
Adj. R
2
0.23 0.22 0.31 0.31 0.23
Supply and Search in the Equity Lending Market 585
are higher. A clear picture now emerges: as stocks scarcity increases, borrow-
ers are forced to search beyond large lenders, and, because it can be costly
for borrowers to nd smaller lenders, the scarce stocks exhibit increased price
dispersion.
B.2. Specialness and Dispersion
Building on the search cost literatures prediction that price dispersion is
driven by search frictions, we would like to further investigate the functional
relation between specialness and dispersion. A connection between the level of
price dispersion and the cost of borrowing supports the hypothesis that search
frictions drive short sale constraints.
We describe our empirical approach as follows. First we compute Cross-
Lender Dispersion for eachstock every day by computing the standard deviation
of average loan fees across lenders. Next, we assign each stock-day observation
to market-wide specialness deciles, where we use each stocks time series of
market-wide specialness to dene deciles. Finally, we compute, and graph in
Table VIII, the average daily Cross-Lender Dispersion for each specialness
decile. We also compute In-Lender Dispersion, which we dene as follows. First,
for each day and each stock, we compute the standard deviation of the fees that
each lender charges on that day. Next, for each stock-day, we take the average
lender fee standard deviation. Finally, we assign stock-day observations to
market-wide specialness deciles inthe same manner as above, and we graph the
average of In-Lender Dispersion for each decile. In short, In-Lender Dispersion
captures the extent to which lenders charge different prices to different clients.
Interestingly, for Cross-Lender Dispersion the results are not monotonic:
there is a pattern of decreasing dispersion for very low specialness deciles
and then increasing dispersion as specialness goes from moderate to high
(Table VIII, Panel A). However, in the higher deciles, higher levels of price
dispersion are correlated with higher loan fees. Therefore, search frictions
appear to inuence the ability of lenders to charge high lending fees. These
results are statistically signicant in a regression framework. Specically, as
conrmed by the signicantly positive coefcient on Market Specialness Decile
in Model 1 of Panel B and the signicantly positive coefcient on Market Spe-
cialness Decile Squared in Model 2. The result that dispersion is increasing
in specialness is consistent with search models, validating the importance of
search costs in this opaque market. Taken together, the patterns in price dis-
persion across lenders in Subsection B.1, and in this section, provide evidence
that costly search contributes to specialness.
The results for In-Lender Dispersion as a function of specialness also are non-
monotonic (Table VIII, Panel A). There is a pattern of decreasing dispersion
fromlowto moderate specialness deciles, and a pattern of increasing dispersion
from moderate to high specialness deciles. Regression results support this pat-
tern: the square of the market-wide specialness decile is a statistically strong
predictor of In-Lender Dispersion. This pattern is consistent with the notion
that lenders have monopoly power both when scarcity is high and when it is low,
586 The Journal of Finance
R
Table VIII
Price Dispersion
Variations in lending fees (specialness) are calculated as the standard deviation of each lenders
price for a given security and day. Cross-Lender Dispersion is the mean standard deviation of
lenders average prices. Specically, for each stock and day we calculate each lenders mean special-
ness and take the standard deviation of the sample of lenders averages. The standard deviations
are then organized by market-wide specialness deciles and averaged. In-Lender Dispersion is the
standard deviation of a particular lenders loans in each stock every day and we take the aver-
age of these in-lender standard deviations by specialness deciles. For each stock, Lender Volume
Concentration is dened as the sum of squared lender volume as a percentage of total volume.
Panel A shows a graph of cross-lender and in-lender price dispersion as a function of scarcity
(market specialness), while Panel B shows the regression results from models of price dispersion
on market-wide specialness (in deciles). Each regression is run on a rm-by-rm basis and we
present the cross-sectional mean of the resulting estimates as in Coval and Shumway (2005) and
Skoulakis (2006) with the standard errors shown below the parameter estimates in parentheses.
Adj. R
2
is the mean of the adjusted R
2
across all rm-level results.
indicates signicance at the
1% level,
indicates signicance at the 5% level, and
indicates signicance at the 10% level.
Panel A: Cross-Lender and In-Lender Price Dispersion as a Function of Specialness
0
0.1
0.2
0.3
0.4
0.5
0.6
0.7
0.8
0.9
1
1 2 3 4 5 6 7 8 9 10
Market Specialness Decile
Cross-Lender Dispersion In-Lender Dispersion
Panel B: Price Dispersion Regressions
Dependent variable
Cross-lender dispersion In-lender dispersion
Explanatory
Variable (1) (2) (3) (4)
Intercept 0.4529 2.6990
0.0552 0.0402
(3.07) (1.60) (0.20) (0.37)
Lender volume
concentration
0.5288 3.1551
0.2203 0.2711
(2.93) (1.31) (0.20) (0.37)
Market specialness decile 0.1713
0.0177 0.0217
0.0535
0.0071
0.2060
22,000
2,279,245
0.2854
953,000
799,278
0.4914
975,000
3,078,523
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592 The Journal of Finance
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