Stock lending markets are unique because stock buyers become potential stock lenders. During periods of high short demand, loan supply should expand as some new buyers of loaned shares lend them. Using instrumental variables, we find instead that loan supply contracts: during times of high short demand, the marginal buyer lends stock at a lower rate than the average seller. We find that this puzzling result is concentrated among closely held stocks with high disagreement among investors, high price impact measures, and lottery-like returns. Thus, non-lending buyers may believe that withholding shares from short sellers could enhance their expected returns.

股票借贷市场是独一无二的，因为股票买家成为潜在的股票借贷者。在短期需求旺盛的时期，贷款供应应该会扩大，因为一些新的出借股票购买者会借出这些股票。使用工具变量，我们发现贷款供应合同：在高空头需求期间，边际买方以低于平均卖方的利率借出股票。我们发现这个令人费解的结果集中在投资者之间高度分歧、高价格影响措施和类似彩票的回报的紧密持有的股票中。因此，非借贷买家可能认为，从卖空者那里扣留股票可以提高他们的预期回报。