Securities Lending by Mutual Funds

46 Pages Posted: 12 May 2012

Date Written: February 6, 2011

Abstract

Using hand-collected data for 2000 to 2008, I examine securities lending by U.S. equity mutual funds. First, I study the decision to start lending. It tends to be a family decision driven by economies of scale and past performance. Within participating families, smaller funds and funds with larger pricing impact are less likely to start lending. Second, I find that smaller and underperforming funds tend to earn more from securities lending. I also find families with superior investment performance learn to improve their value added from lending. Finally, fund entry in stock lending is associated with changes in fund turnover.

Keywords: mutual funds, securities lending

Suggested Citation

Rizova, Savina, Securities Lending by Mutual Funds (February 6, 2011). Available at SSRN: https://ssrn.com/abstract=2056651 or http://dx.doi.org/10.2139/ssrn.2056651

Savina Rizova (Contact Author)

Dimensional Fund Advisors ( email )

6300 Bee Cave Road, Building One
Austin, TX 78746
United States