In the finance literature, either domestic or abroad, there have not been many articles that dealt with stock lending & borrowing transactions. To the best of our knowledge, this is the first paper investigated the informational contents on stock lending & borrowing transactions. In this paper, we empirically analyzed the impact of stock lending & borrowing transactions to the capital market around the regime change. Testing period includes 60 months starting from January 2, 2006 when such transactions began to blow up to December 30, 2010. We, based on systematic characteristics of the regulations on short selling, investigated the informational contents of stock lending & borrowing transactions as well as short selling transactions by establishing the low-rank sections. Especially we formed portfolios with 60 stocks which had been traded most frequently through such transactions, and estimated the differential return that actually earned by traders. Major findings are as follows. Firstly, we confirmed that over 90 % of all stock lending & borrowing transactions are performed by foreign traders, and that the traders utilized such transactions in various investment strategies such as short selling and program trading. Secondly, we observed, in stock lending & borrowing transactions, that redemption transactions are more heavily utilized rather than newly borrowed transactions during specific periods, and about 30% of newly borrowed transactions are applied to short-selling transactions. Thirdly, we formed portfolios with 60 most frequently traded stocks in lending & borrowing and estimated the differential earnings on those portfolios actually acquired by short selling with borrowed stocks until redemption. We found that the strategy of redeeming after 3 to 6 months from the point of short selling yielded the highest returns compared to other strategies. Furthermore, there was evidence that, during the two-year-and-9-month period before the ban of short selling, 6-month investment horizon after performing short selling yielded 11.6% return(5,778.9 million dollars), and 5.7% return on average(421.9 million dollars) during the entire 5-year period. Fourthly, the total return earned by foreign investors through stock lending & borrowing transactions in line with short selling in 2008 was estimated as high as 30.8%(9,506.1 million dollars). They sold short as much as 13,684 million dollars in 60-stock portfolio for just 4-month period from June to September 2008, and redeemed those stocks from October through December to yield 26.2% return(104.8% annualized return, 3,585.7 million dollars). This estimated return exceeded the market average return by 49.8%. This study found that unlike common expectation the ban of short selling enforced in October 2008 not only provided the cause of redemption to foreign investors who previously earned enormous investment profit through short selling, but also actually acted as a loss-cut device in vicious cycle of short-selling at low and redeeming at high. As a result, we concluded that the informational contents are sufficient in stock lending & borrowing transactions as well as short selling. We also proved the hypothesis that those investors armed with superior information and analytical skills can acquire superior rate of return through stock lending & borrowing transactions as well as short selling.