| 论文摘要: |
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 present within ETF markets.
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