Revealing Shorts: An Examination of Large Short Position Disclosures

Review of Financial Studies, 2016
   with Charles M. Jones and Adam V. Reed

- 2011 Inquire Europe Research Grant
- 2013 American Finance Association Annual Meeting
- 2012 RMA/UNC Academic Forum on Securities Lending
- 2012 Tinbergen Institute–SoFiE Conference
- 2012 Arizona State University Sonoran Winter Conference
Press Coverage:
-"The Big Board’s ‘Icky’ Attack on Short-Sellers"
   by Stephen Gandel, Bloomberg (30 June 2017)

View: Abstract | SSRN Page

Since 2012, all European Union countries have required disclosure of large short positions. This reduces short interest, bid-ask spreads, and the informativeness of prices. After specific disclosures, short-run abnormal returns are insignificantly negative, but 90-day cumulative abnormal returns are a statistically significant –5.23%. We find disclosures are likely to be followed by other disclosures, especially when the initial discloser is large or centrally located. However, there is no subsequent increase in short interest, and prices do not subsequently reverse. These results indicate that large short sellers are well informed, and that disclosures are not being used to coordinate manipulative attacks.

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