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SUMMARY:On the No-Arbitrage Relation between Securities Lending Fees and O
 ption Prices
DTSTART:20260306T110000
DTEND:20260306T121500
DTSTAMP:20260415T231018Z
UID:9a84b155f597e53f6f55a4af1484b86e8dc29b572cb99cd87a60a1a5
CATEGORIES:Conferences - Seminars
DESCRIPTION:Matthew C. Ringgenberg - University of Utah\nWe study the econ
 omic determinants of the no-arbitrage relation between securities lending 
 fees and synthetic short positions constructed from options. We show that 
 option-implied lending fees are systematically downward-biased for long-ma
 turity contracts\, consistent with the impact of early exercise premia. Ac
 counting for bid-ask spreads further widens these deviations\, suggesting 
 that synthetic shorts embed compensation for avoiding securities lending r
 isks. We also show that market maker behavior\, shaped by regulation and h
 edging constraints\, plays a key role in the transmission of borrowing cos
 ts into option prices. Our findings highlight the limits of arbitrage in p
 ractice and demonstrate that options are not redundant securities\; rather
 \, they can be used to circumvent some short-sale constraints.\n 
LOCATION:UNIL\, Extranef\, room 126
STATUS:CONFIRMED
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