主题：Security Lending Market, Secondary Market Arbitrageurs, and ETF Mispricing
主讲人：吴博晨 墨尔本大学
主持人：黄盛 威尼斯欢迎你welcome
时间：2024年5月10日（周五）上午10:00-11:30
地点：威尼斯欢迎你welcome石牌校区威尼斯欢迎你welcome大楼（中惠楼）102室
摘要
This paper examines the effect of ETF short-sale costs on ETF pricing efficiency. I find that ETF premiums are positively associated with the costs of borrowing ETFs, which are primarily a friction for ETF secondary market arbitrageurs. Leveraging two exogenous variations in ETF borrowing costs, I establish a causal effect of borrowing costs on ETF mispricing. Furthermore, the sensitivity of ETF mispricing on borrowing costs depends on the activeness of primary market arbitrageurs. Collectively, empirical findings in the paper emphasize the role of the secondary market participants in the ETF arbitrage mechanism, and reveal an interdependence between the primary and secondary markets.
主讲人简介
吴博晨，墨尔本大学金融学博士，主要研究方向为实证资产定价。研究兴趣涵盖股票收益可预测性、卖空者在影响资产价格方面的作用，以及行为金融学等领域。硕士期间在国际同行评议期刊发表三篇论文，博士期间一篇工作论文收到了国际权威期刊Management Science的修订请求。
欢迎感兴趣的师生参加
校对|黄盛
责编|彭毅
初审|王航
终审发布|何凌云
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