Suppose I lend you an equity security for ten years, interest-free, and you have to return it to me at the end of term (which means little-to-no risk-taking). What is the maximum (near-)riskless yield that can be "extracted" from holding the stock, in the absence of alpha? (I distinguish "yield" from "gains in the stock's value"; the latter of these doesn't count. Equivalently I'm asking about maximum yield above baseline equity returns.) Can this maximum be proven? The naive (obvious?) answer is "the best you can do is lend the stock" but I wonder if we can do better than this in general.
One strategy I thought of was to own the stock $S$, enter into an equity swap paying $S$ and receiving $X$ where $X$ is the inverse return of the stock with the highest borrow rate, buying $X$, and then lending it out. I know I must be missing something here (because short squeezes would be much rarer if one could synthetically lend in this way), but I'm not sure where I went wrong.
As far as proving an upper bound goes, I think maybe you could back out the monetizability of an equity by looking at the forward price and solving for $q$ in $F=S_0\exp((r-q)t)$, but this may not be practical since different market participants have different values for $r$.
