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Quantitative Finance · Begrippenlijst

Wat is Borrow-fee signal?

Definition 8.1 Strategies I: Equities and Futures · Hoofdstuk 8 — Short Interest, Borrow and Crowding

A borrow-fee signal ranks stocks on the fee to borrow them for a short sale (or on utilisation, the share of lendable supply on loan); high fees mark stocks in heavy short demand relative to supply, which have tended to underperform.

The short-interest decile book on the synthetic lending market: cumulative return before borrow fees, after them, and after trading costs too (gross exposure one). Data: s1_lending.book.
Figure 8.1. The short-interest decile book on the synthetic lending market: cumulative return before borrow fees, after them, and after trading costs too (gross exposure one). Data: s1_lending.book.
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