2017 年 9 巻 p. 85-90
This study examines whether short-sales constraint is really significant in the presence of a centralized lendable stock market. We hypothesize that a centralized lendable stock market reduces search frictions considerably that reduces cost of borrowing stocks and make short-sales less constrained. Using six-month daily data, we provide evidence that cost of borrowing stocks is not generally significant in the centralized lendable stock market in Japan. Costs of comparable borrowing stocks are also found to be lower in Japan than that in the USA. Our results also show that conventional recall risk is not observed under a centralized lending market. We also examine future return behavior of short-sales constrained stocks to test Miller's (1977) overvaluation hypothesis but have not found any evidence in support of the hypothesis. Overall, our results support the prediction of Kolasinski et al. (2013) that a centralized lending market reduces short-sales constraints and improves the efficiency of the market.
